With a standard monitor everything you see on screen is already soft proofed to sRGB. That's all it can reproduce. So soft proofing to Adobe RGB makes no sense. It's beyond the monitor's capabilities.
Even if you have a wide gamut monitor soft proofing to Adobe RGB makes no sense. You'd need a monitor that reproduced considerably more than Adobe RGB (which doesn't exist), and a file in an even larger space such as ProPhoto.
If you see a difference, you have "Preserve RGB numbers" checked in Proof Setup (which you normally shouldn't). This is the proof equivalent of Assign Profile - IOW how it will look if you assign Adobe RGB as opposed to Convert to Profile, which is what you normally do and which will preserve color appearance.
The other possible explanation is a rather evasive bug in Photoshop, reported from time to time. Sometimes people see a color shift when converting to the very same profile as the file already is. I can't reproduce that, so I can't give any more details.
Just a quick rundown on what soft proofing actually does.
Instead of the single profile conversion document profile > display profile, which is continually performed by Photoshop, on the fly, as it displays the image - soft proofing inserts another link in the chain. It becomes document profile > proof profile > display profile. The end result is the same; but with the total gamut limited by all three profiles. The profile with the smallest gamut limits the whole.
This is useful if the proof profile is really the limiting one, but if it isn't the whole exercise is moot.
(In reality icc profiles have separate proof tables, so the actual mechanism is different. But the model above is more descriptive of what happens).
Thanks for your reply. I know better than to have Preserve RGB Numbers turned on so that isn't causing the weird display with the Adobe RGB profile. I realize you typically are going to soft proof to a printer profile, but I was just comparing a variety of profiles. I am printing at a school with an HP Color Laserjet printer. The printer prints very dark and the profiles they provide are not accurate. The HP techs say it is an sRGB printer and it's best to use this profile when printing. So I was soft proofing to see how that would go down. The sRGB profile gives deep oranges but it surprised me that the colors shifted so much when I tried the Adobe RGB profile.
If your prints are too dark (and you have picked the correct paper type in the printer driver), the display is most likely too bright.
Here's an internet classic: http://www.luminous-landscape.com/tutorials/why_are_my_prints_too_dark.shtml