Yes, normal Rhino behavior with two closed shells one inside the other is to keep them separate. There is a workaround: run the command NonManifoldMerge on the two shells, then CreateRegions on the result. The result will be a single “disjoint” polysurface volume. Use at your own risk…
In Rhino V5, there is another way to create a solid with a hollow inside, but it only works for single,closed surfaces (like a sphere, for example). Offset the surface with the Solid option, and if the offset is clean (no self-intersections or folds) it will form a solid polysurface. While this only works for single, closed surfaces, not polysurfaces, it can be handy sometimes.