I was having a similar problem. I used the Make NetCDF Raster Layer tool to create a couple of rasters (SST data), and it imports and projects fine, but no spatial reference. I tried using the "Define Projection" tool in ArcToooolbox within ArcMap and from within Catledog, all works fine, big green flashing tick, but still no spatial reference!? But get this, if you right click the raster in Catalog and then edit the Spatial reference, and choose appropriate projection, it works... go figure... another Arc-mystery.