Can't auth admin db on the replica set
Yes. When you "try" to authenticate directly to any replica set at the cluster, "local" admin database is used (admin database at the replica set). 

You need to create that admin user locally. IF there are NO users inserted to your RS's admin database, "localhost exception" is still valid and you should not have any problem login without authentication (no -u and -p parameters on mongo -command) and create that admin user. After first user is created to RS, localhost exception is gone and you need authenticate. So, first created user MUST be admin with root rights.