I have had a reoccurring problem with map 2008 recognizing the spatial reference for various items through the FDO.
Even though the .prj file is listed, along with Autocad having it listed in its own projection list, I still cannot seem to get items to load in their proper place.
Most of the time I find that I get an <unknown> under the Coordinate System column of the Edit Spatial Context dialogue box.
This has been problematic in that I have to unload then re-load GPS and other .shp files and Raster images to align them up in their proper places. sometimes i cannot get them to load at all, or they load, but have <Null> information in their Tables.
The coming up in the Data Connect dialog has to do with AutoCAD Map 3D not recognizing the .prj file. If you take a look at the full coordinate system description, you'll probably find there are a few discrepancies between the file you have and Autodesk's (Mentor) library. The quick and easy workaround is to click the Edit Coordinate System button from within Data Connect and choose the appropriate coordinate system from the Map 3D list.