This means that there is something already in the scene (or there was something in the scene). Once something is put into the scene, the coordinates are set accordingly. (Option 0) Try starting with a brand new scene. Then, import the map data.
Option 1:
Or, if you have stuff in a scene that you want to move to another location, you can select all the objects in the scene and move them using the move tool in the toolbar and by typing the amount you want to move. You'll have to calculate this amount.
To calculate the amount you need to move the shapes, first, turn on the navigation display (drop down arrow next to settings icon in viewport toolbar). Then, switch to CityEngine coordinates (same drop down as before -> View Coordinate System -> CityEngine CS). Move the mouse over a shape in your scene and note its coordinates that appear in the navigation display at the bottom of the viewport. Make a new scene and import OSM data from the desired city. Using the same procedure as above, find the coordinates of a shape in this scene. Then, subtract the first shape's coordinates from the city shape's coordinates to get the move amount.
Once you've moved the contents of your first scene, you'll have to export it as a CEJ (File -> Export -> CityEngine -> Export selected objects as .cej file) and import it into the second scene which contains the map data.
Option 2:
If you know the coordinate system you want, you can set it directly using Edit -> Preferences -> Scene -> Scene Coordinate System. However, setting the coordinate system will not move the current objects in the scene, so you'll have to move them to within the valid bounds of the new coordinate system. Use the procedure from Option 1 to move the contents.
