When excluding users that mailbox was converted to shared mailbox, implies in exclusion of shared mailbox. This is correct behavior?

What do you mean by excluded? Are you using dirsync and you filtered them?

The best way to deal with users leaving the company is to use Inactive mailboxes: http://technet.microsoft.com/en-us/library/dn144876(v=exchg.150).aspx

You will need Exchange Online Plan 2 licenses to put the mailboxes on hold however.

I'm not using dirsync, all users are on Office365 (small company, less 50 users). These users were E1 plan, in this case I can't use Hold and Place in this case, I think. That's correct?

Yes, but you might consider getting at least one license for that purpose then.

Anyway, what do you mean by 'exclude them in Office365 Admin Portal'?

OK! I will clarify this point, in Office365 Admin portal, I select that users (after changed mailbox to shared) and after I click on "Delete" (trash icon). In my mind, they don't have any mailbox associated because mailbox was converted to shared.
The main problem is: Keep archive of users mailbox on the cloud without need to keep an active license, what the best way to solve this issue?

Ok! Today I doing this, I convert the user, after I remove the license associated and change the Logon status to "Denied".
And some cases the user have kiosk license or E1 plan, in this way works good, the only problem that I need to keep the user active in Office365 (without license and logon status denied). How about the "Hold and In-place archive"?

You cannot access shared mailboxes directly anyway, doesnt matter what the logon status is. If you want to be able to login to the mailbox directly, you will always need a license applied to it.