In Pro 2.3 (and 2.3.1) using the Copy Features geoprocessing tool and after electing to place the output in a File Geodatabase it's insisting on adding '.shp' to the end of the file. I then tried removing the .shp from the output file name but it automatically adds it once Run is clicked.
From the Python window it also fails, as despite not including '.shp' on the output parameter it's tried to add it, when looking at the result:
arcpy.management.CopyFeatures("Structure", r"C:\Temp\Matai\MMPK\Data.gdb\Structures", None, None, None, None)
Using the tool to create shapefiles (outside of a file geodatabase) works fine.