I think the cruiser's captain acted illegally, in having his guns loaded, even if they did have some trouble in Melbourne, during their stay there in January/February, 1865. Yes, it was the CSS SHENANDOAH, and an entry in surgeon Lining's private journal reads as follows:

"Saturday, February 18th, 1865; “Steaming out of Hobson’s Bay.” At daylight this morning got up steam and as soon as it was light, maybe, or about 7 a.m. commenced steaming out of the Port, in charge of the same pilot who brought us in, a Scotchman named “Nicholson”. Large bets had been offered that our ship would run pass through the heads in safety, cause quietly all our guns were loaded to prepare against any emergency. But nothing occurred and at 11.45 a.m. we passed the heads and were once more on the “rolling deep”. Soon after getting outside the Pilot boat was seen and we stood on for her."

She was definitely still within Australian waters, as "the Heads" referred to, were the points of two jutting peninsulas, within sight of each other (Queenscliff on one side, and Portsea on the other), and which leads out to the open sea.
It is obvious that it was done illegally, especially when Lining mentions that it was done "quietly".
Then again, they broke several other rules and regulations while in Melbourne, especially rules relating to the "foreign enlistment act" so I guess they didn't care much about breaking another.