WordPress / CiviCRM permission?
I had not seen this before, but on testing ( CiviCRM 4.6.6 and WP 4.2.4 using an admin with full permissions) I get the same behavior you do.   In the back end (or in Drupal) we can click on a link to the Address record and if we have permission to edit, we can.

When you insert the shortcode in the page, you are editing the current user's profile/contact info.   In the profile form there is no way that I can see to edit the 'master address'.  

I took a look at using the Contact Dashboard as we've used this for a similar purpose between Orgs and Contacts, but the relationship that is created when sharing the address does not show here.

It does look to me like this is a limitation of editing the contact on the front end via shortcode as opposed to editing in the admin.