I'm only going off memory here , but when you set up the custom functions didn't you assign the control dial to to either aperture or shutter speed ?
In which case you need to set it in the custom functions to your preference .
I never use programme mode on any of my cameras , they tend to be permanently set to aperture priority unless it's the rare occasion where I need to shoot shutter priority or full manual .
I don't think Nikon's explanation is wrong .
The camera sets the two values to suite the lighting with the focal length and distance of the lens taken into account .
If the light remains the same , as you alter one setting the other us automatically corrected .
If the light changes , the camera corrects the difference .
Being in programme mode your still giving mist if the control to the camera .
If you need more control of the shutter speed , that's why they give you shutter priority .
You just need to keep an eye on the AV .