Black holes (and event horizons) are not caused by density. And yes, they always start at the center, even when 100% of the mass and energy is located on the shell far away from the center.
First thing to remember is that you don't "feel" an event horizon. In fact, if aliens were headed towards the Earth from all directions, and they were hoarders (or just preferred to bring their planets with them rather than building space ships), then we might be inside an event horizon right now and not even know it! You don't feel an event horizon, and it does not form because of large density.
You can even have an infinite density and still not form an event horizon.
So let's ask what an event horizon actually is. Firstly, it's a surface that has an inside and an outside. Secondly, it's a one way surface. Things can go from the outside to the inside but not vice versa. Thirdly, the observers that stay outside never see the inside, not because you have a Faraday cage or something that blocks light, but because of the geometry not allowing even the speed of light to cross the horizon.
You can think of the horizon as something that's itself passing past any event at the speed of light going outwards.
For instance if you have an observer that's accelerating at a constant rate (and direction) so that in Minkowski space they would have a hyperbolic notion, then that observer has a horizon, the boundary between events they see and those that they never see. And it is a perfectly normal surface moving along a fixed direction at the speed of light.
It's a "last call", like if you send a light signal now you can reach that observer eventually but if you wait past this event then you will never reach them. It doesn't feel like a "thing" per se.
So of a giant shell of matter were collapsing around you and you were regular matter and the shell is slowly contracting there might be a point where it gets too concentrated (too much on the inside compared to the surface area). Then from the outside it would seem like a black hole. The black hole is an event horizon.
It is basically grouping all the observer that stayed outside and marking a point when you could contact them and when you couldn't.
For instance in the above example if you didn't want the aliens contracting on you from all directions and trap you inside a black hole, you could send a them message and if you send it early enough you could tell them to stop contracting (whether they'd oblige is of course, up to them).
At some point if you hadn't had sent the message, it would've been too late now. Your message wouldn't get to them in time. You waited too long. That is the event where the event horizon forms. In the center, at the moment you waited too long. It expands at the speed of light in all directions. It might merge with other event horizons that also started at events and then started expanding at the speed of light. Eventually it expands and hits the surface.
If the surface were far from the center it might be a very long time before a singularity forms. But the event horizon started as soon as it was too late (depending on the location) to get to the outside.
So you can even have a completely empty spherical ball and then have an infinitely dense shell of mass on the outside. As long as you don't have too much mass per surface area, you are fine. So a mass that's infinite per unit volume but still finite per unit area, given that the area is bigger than $4\pi (2m)^2$ for the mass $m$, things would still be fine. But if the shell contracts to have too little surface area then it gets engulfed by an event horizon.
In which case the event horizon would start at the center, and just in time that it needs to expand to become the boundary around the shell before the critical mass per area were reached (versus after and thus being trapped inside forever).
And the exact critical moment actually just depends on the geometry. The whole thing is just geometry! The moment geometry stops letting escape, horizon forms. It expands at the speed of light (otherwise you could cross it). And it does so for an inertial frame. Eventually it gets to a point where expanding at the speed of light means staying at a place that has the same local geometry. When it gets to the critical surface it can expand at the speed of light and have that same geometry outside and inside. And that trapped surface is really what makes the event horizon "stick."
So in essence the horizon starts on the inside, and keeps expanding until it just reaches the "outside", then it just "sticks" onto there.