When you create the LAS dataset, there is a parameter in the tool called Coordinate System. If no spatial reference is explicitly assigned, the LAS dataset will use the coordinate system of the first input LAS file. If the input files do not contain any spatial reference information and the Input Coordinate System is not set, then the LAS dataset's coordinate system will be listed as unknown.
If you forget to set the parameter and the .las files don't contain any spatial reference information, you can go into the LAS datasets properties and go to the XY Coordinate System tab and set it after the fact.
You can not reproject a LAS dataset at this time. Here are some LAS dataset considerations, with spatial reference being one of them...
