I dont think that is currently feasible, but its on the radar for how this might work.
If you are adventurous, you could try forking DataFrames and changing the constructors to make all the arrays SharedArrays and let us know what problems you faced.
I use vcat as reducer for @distributed. This way all workers locally vcat their local parts of the overall DataFrame. Finally, the master (the process who @distributed the construction) vcats the worker DataFrames. The speed-up is sufficient for my use case. A SharedDataFrame would be great though.