Go ahead and try to Set the Working Folder, UP one folder. You might have to keep doing that until you have the correct directory. Keep in mind the working folder will be the folder BEFORE the folder that was created when you created the Data Shortcuts.
I'm having the same issue with Civil 3D 2015 on 2 Windows 7 Pro machines with projects on a server.
A co-worker created a set of drawings on the network location, with data shortcuts created from one drawing and referenced in another. If I open them, I can set a working folder, but can't set the data shortcuts project folder, the option is greyed out. I've tried setting the working folder one level higher, and as the data shortcuts folder itself, but no luck.
The shortcuts appear just fine in the referencing drawing, and if I edit in the source drawing they change in the other one. I just can't access the shortcuts to add new ones.