Use a US Environment with Advanced (premium) data loaded.
1. Set up yourself as a Warehouse Employee for the GREEN location.
2. Enter and post a Purchase Invoice for any vendor, 10 units of item 1850 at the GREEN Location. This is to ensure that there on hand quantities which can be processed on a sales order.
3. Enter two Sales Orders for the same customer (I chose 30000), and these details:
a. Sales Order 1: External Doc. No.: PO-001, Item No.: 1850, Location: GREEN, Quantity: 2
b. Sales Order 2: External Doc. No.: PO-002, Item No.: 1850, Location: GREEN, Quantity: 3
4. Release both Sales Orders.
5. Create a new Warehouse Shipment.
6. Click Process - Get Source Documents... and choose the two Sales Orders entered above.
7. Click Process - Create Pick... to create a Warehouse Pick for the two lines.
8. Navigate to the Warehouse Pick that was created and choose to Register the pick.
9. Navigate back to the Warehouse Shipment in question and review the External Document No. in the Shipping FastTab. Enter a value in the External Document No. field. (I entered SHIP1.)
10. Click Posting - Post Shipment... If prompted choose Ship, and click OK.
11. After the shipment has been completed, navigate back to the two Sales Orders. Open each and review the External Doc. No.

Expected Results:
The Sales Orders should retain the External Doc. No. values which were entered on them in step 3 above.

Actual Results:
Both of the Sales Orders have had the External Doc. No. value set to SHIP1 (or whatever value you entered in step 9.)

Additional Information:
There are other methods for creating the Warehouse Shipment which cause the External Doc. No. on the Warehouse Shipment page to be populated. Regardless of whether there are one or multiple Sales Order lines on the Warehouse Shipment, if there is a value in the External Doc. No. on the Warehouse Shipment, it will overwrite the value in the External Doc. No. on those Sales Orders.