Eu tive o mesmo problema, mas encontrei este tutorial e me ajudou.
http://www.hacksparrow.com/mongodb-add-users -and-authenticate.html
usar:
db.addUser('sa', 'sa')
ao invés de
db.addUser({user:"sa",pwd:"sa",roles:["userAdminAnyDatabase"]})
{
"user" : "sa",
"pwd" : "75692b1d11c072c6c79332e248c4f699",
"roles" : [
"userAdminAnyDatabase"
],
"_id" : ObjectId("519deedff788eb914bc429b5")
}