Not sure if you still need a solution to this, but lets see. First, sounds like you want to print cylinder2 inside cylinder1 with transparent materiel, and be able to 'see' the structure of cylinder 2.
If this is correct, first, you can't use 100% infil for the obvious reason. But I've been able to get items to print 'inside' others by:
In max, make sure the parts are seperate objects. Select the ones you want, 'export selected'.
In cura, make sure your infil is less than 100% (i'm printing with 0% infil and .12 wall thickness since I have cura issues myself).
In cura, make sure "print all at once" is selected.
If it still won't slice in cura, try a boolean if you havn't.
