We have recently introduced support for roaming profiles for the Outlook connector. Please see this bug entry for information:
http://bugzilla.zimbra.com/show_bug.cgi?id=9232
The relevant part is:
For 4.5.x, you can set a reg key (HKCU\Software\Zimbra\ZimbraZDBFolder) that
says where the zdb will go. You have to set this key prior to the creation of
the profile. So either customize the installer, or after the install (but
before you start outlook) you can edit/create the reg key. You cannot move an
existing zdb.
With 5.0.0, you can move an existing zdb. You can do this in profile editing
properties.
Setting this key prior to creating the profile should let the .zdb file go to the shared drive, and the initial sync to complete correctly. You also need to be sure the server and the Outlook connector are both the most recent version (4.5.3).