Reprojection Question

Since I am still rather new to this area of MicroStation/Geopak, please pardon what may be a dumb question. I have a DGN with the GCS set to "EPSG:4326" which is the WGS 84 system. I have imported some data that has lat/long associated and it appears like it comes in correctly. (If I select one of the imported cells, it gives me the origin at 85.333,39.888 for example). Now if I want to take this layer and reproject it to a Projected system (northing easting), I go into the set GCS dialog box and select my new GCS, and then it asks me if I want to reproject or correct the GCS, I select reproject. After I do this, all the elements now have an origin of 0,0. Is there something I am doing wrong or something I am not understanding? Is the issue related to my imported data still being set to lat/long?

Help me understand (as much as possible). 

Thanks!

Ken