The data should go to one shard or it will be splitted between the shards?
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Don’t do that. 🙂
There isn’t explicit protection against that; in the future that would be a good improvement. Typically the mongod’s in a sharded cluster are running on a different port number than the default so it is difficult to accidentally do that.
A sysadmin may wish to explicitly connect to such a server to inspect it — that is fine as long as the operations are read only. You could also do administrative actions there such as a reindex and such.