You cannot archive from this location
This is an expected behavior. When a user has access to more than one Microsoft Exchange mailboxes, Enterprise Vault actions on messages only works when connected to the primary mailbox Outlook profile.
A workaround for this is the following:
1. In Microsoft Outlook > File > Account Settings
2. Delete the secondary account
3. Select Change on the primary account
4. Select More Settings
5. Under the Advanced tab add the secondary mailbox so it appears in the 'Open these additional mailboxes' section