Low-dimensional representations of underdamped systems often provide useful insights and analytical tractability. Here, we build such representations via information projections, obtaining an optimal model that captures the most information on observed spatial trajectories. We show that, in paradigmatic systems, the minimization of the information loss drives the appearance of a discontinuous transition in the optimal model parameters. Our results raise serious warnings for general inference approaches, and they unravel fundamental properties of effective dynamical representations impacting several fields, from biophysics to dimensionality reduction.