All the options of being able to choose a key photo, and being able to move photos around and keep them in an order of your choice in a normal album are not available for SHARED Albums.
The name "Shared Album" album is terribly misleading. Shared albums are no albums, they are streams of photos. Previously, the shared albums have been called "Shared photo Stream", a much more fitting name. Apple changed the name to "Shared Albums", when Photos replaced iPhoto, and now we naturally expect the shared albums to behave like albums, but they are still the old photo streams; nothing has changed but the name.
Shared albums are intended to be used as communication channels. The intended use is to drop occasionally a new photo into the shared album to show to someone. The recipient will add a comment or like, then drop a new photo as a reply. We comment on the new photo, etc. That is why the new photos are always placed at the end of the shared album, so we can spot the new photos easily. If we could rearrange the sequence of photos, the comments and the complete discussion in the stream would be messed up. S
Are you trying to use a Shared album to share a slideshow or a web gallery? Apple removed all tools to share galleries and slideshows when iPhoto and iWeb have been discontinued.
Trying to share a web gallery as a shared album requires to prepare the gallery in a sorted album, then share the items individually, as Mark described.
