Have not had the need to do this previously, but I don't remember ever hearing that you can't. I have a Shared Parameter called NIC, of type Text, assigned to Furniture, Furniture Systems, Generic Model, Lighting Fixtures and Specialty Equipment.
Values we might apply to this parameter include OFCI (Owner Furnished Contractor Installed), OFOI, or just plan NIC. I want to use a filter to make these items use a different line style, color and line weight in some plans, and be turned off in other plans. But I also want to be able to use a Multi-Category tag on them as well. Thus a Shared Parameter.

When I try to make a filter NIC doesn't show up in the Filter Rules list. I can choose <More parameters...> and it is there, but I can't get it into the Filter Rules list. If I do it as a non Shared Project Parameter the filter works fine.

Am I just barking up a tree with no raccoon in it?

DOH! If you THINK you have the Shared Parameter applied to all those Categories, but you actually don't, and you try to make a filter that applies to all those categories, the parameter isn't in the list. Because Revit only populates the list with things that will actually work.
One of those places where Revit is doing exactly the right thing, and giving you exactly the right feedback, and you ignore it at your peril.

Thanks,
Gordon