It's more crucial with fixed coil cartridges like your Shure than with moving coils.
The amount you apply will affect the cartridge's performance, mainly at the top end and will also affect how well the phono circuit suppresses RF interference.
If it's not adjustable on your phono preamp you can add extra capacitance by soldering appropriate resistors across your input terminals.
Only do this if you are competent at electrical work !
This page may helphttp://www.hagtech.com/loading.html
I would try your combination out first.
By adding the capacitance value of your arm wiring to your Pro-Ject's capacitance you will probably get close to the recommended 200pF without modifications.