That behavior is part of how enumerate sets things up: take or leave.
I suggest to use enumitem with its full power (no shortlabels option), it is much more flexible and customizable; for alphabetic enumeration use \alph*. I present three examples:
\documentclass[12pt]{article}
\usepackage{enumitem}
\usepackage{showframe} % just for the example
\begin{document}
\section*{Greetings}
\begin{enumerate}[label=(\alph*)]
\item Hello World % I am not indented
\item Halo Welt
\item Ciao mondo
\item Ol\`a mundo
\item Hola mundo
\end{enumerate}
\begin{enumerate}[label=(\alph*),leftmargin=2\parindent]
\item Hello World % I am not indented
\item Halo Welt
\item Ciao mondo
\item Ol\`a mundo
\item Hola mundo
\end{enumerate}
\begin{enumerate}[label=(\alph*),leftmargin=*,align=left]
\item Hello World % I am not indented
\item Halo Welt
\item Ciao mondo
\item Ol\`a mundo
\item Hola mundo
\end{enumerate}
\end{document}
Note that showframe is just to show the page frame and so the alignment with respect to the left margin (made visibile).
Note also that the font size option is 12pt and not 12 (which is ignored).

12pt, not12– egreg Sep 30 '14 at 14:13