macOS + Windows 10 + shared data partition
Disclaimer: Macbook Air + Lion + Windows 7 Boot Camp + shared partition answers a similar question, however with macOS 10.12 Sierra (or later) the therein mentioned step with removing the macOS Recovery partition does not work any more.

Note: Everything mentioned here worked fine for me for several months. But then I got several data losses on the exFat data partition. Since some weeks, on my MacBook Pro 2016 with Touch Bar, the Touch Bar stopped working properly on macOS, and now it also stopped working on Windows 10, with Bootcamp asking for a restart on every single boot. It was not a hardware failure, as everything is working fine with a clean install with only macOS + Windows 10 (without a shared data partition); I guess it might be related to the unusual partition setup. Thus, in summary, I would no more recommend the method mentioned below.

So, I succeeded to have this setup, by having Windows 10 Home (version 1607 Anniversary Update) first on the drive, followed by the data partition and then by macOS 10.12 Sierra. This circumvents Windows' limit of 4 partitions (including Recovery and EFI system partitions).

Steps for doing this:


Backup everything.
In Windows, download MediaCreationTool and set up a USB stick with the Windows 10 installation files. (Note: My Antivirus software blocked the MediaCreationTool from making the USB stick bootable, so I had to temporarily disable my Antivirus software during the setup.)
In macOS, start Boot Camp, and download Windows support software (via the "Action" menu). This will create a folder "WindowsSupport". Copy it's content to the Windows USB stick (otherwise you might not be able to use the keyboard and touchpad during the Windows installation). The top folders on the USB should look like this then:


&lt;DIR&gt; boot
&lt;DIR&gt; efi
&lt;DIR&gt; sources
&lt;DIR&gt; support
&lt;DIR&gt; $WinPEDriver$
&lt;DIR&gt; BootCamp
 autorun.inf
bootmgr
bootmgr.efi
MediaMeta.xml
setup.exe
AutoUnattend.xml


Edit the file "AutoUnattend.xml" and remove the sections "ImageInstall" and "DiskConfiguration" (this is required so that you'll be able to set up your hard drive during Windows installation).
In macOS, create a bootable installer on an USB stick for macOS.
Boot your computer from the Windows 10 installation USB stick. During setup, remove all existing partitions and setup your hard drive like this (we need to setup all partitions now, as macOS won't be able to change the partition table later; also note that Windows will also add 2 partitions at the beginning of the hard drive, one for Recovery and one for EFI system):


First partition with NTFS (for Windows).
Second partition with exFat (for shared data).
Third partition with exFat (for macOS).

When Windows is installed, run "Apple Software Update" to install updates for Boot Camp.
Boot your computer from the macOS installation USB stick. During setup, open Disk Utility from the utilities window, then use Disk Utility to erase the last partition using the Mac OS Extended (Journaled) format. Then install macOS into this partition.


You will no more be able to change the startup volume in macOS' preferences. But within Windows, you can use the Boot Camp manager to set your preferred startup volume, and of course you can hold ALT during startup to choose the system.