PMI Ordinate Dimensions

Hello all

Fist let me say I am new to the forum and brand new to PMI, I apologize in advance for my ignorance.  With that, lets jump right in.  I am trying to to put in a PMI Ordinate dimension on a shaft component.  

I click on PMI Ordinate Dimension

The menu pops up

I click on the point where I want 0,0 to go

The "axis" are not alligned with the part

I do not see a way to orientate the way I want. (red arrow in picture)

Any help or information is greatly appreciated