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Are you using OmniGraffle 5 Professional or Standard? Shared layers are a Pro-only feature.

It turns out there's a bug in OmniGraffle 5 Standard that allows the very determined to create a shared layer, but it'll be locked, so you can't do anything with it.

(If you're using OmniGraffle 5 Standard and someone sends you a Graffle file with shared layers, you can view them, but they're locked, so you can't edit them.)