When you open a newly exported File Geodatabase in ArcMap, you may see the Unknown Spatial Reference message.
To resolve this, set the Spatial Reference in ArcCatalog to match the MicroStation coordinate system. In some cases, when exporting to an ESRI File Geodatabase, the Spatial Reference information is not carried through to the layer in the file. Well known coordinate systems, such as EPSG:3857 will be retained and not present this message.
Using Bentley Map, use the Interoperability menu item and create a new Export node, Browse to the path to hold the resulting ESRI File Geodatabase files.
Export the file and open ArcMap. Select the Catalog option and browse to the File Geodatabase.