Well at least I'm not the only one that didn't realize that this was not allowed. I talked to the client about a custom modification, but they are going to try to work around it procedurally. The real kicker is that once you start shipping an order, it is locked in sales order (naturally) so you can't even add the line to the sales order unless you delete the entire shipment first, add the line in Sales Order entry, then start the shipment all over again.