Are you connecting to an open source server or an enterprise server? When loading an shp if there is an associated .prj file it is supposed to use this information to determine the coordinate system. If it doesn't exist it is supposed to read the user specified entry. There may be a bug with this if you do not convert the SHP to SDF, but leave it as SHP. Try converting to SDF and specify a coordinate system if you do not have a .prj. Otherwise create a .prj.
Dave