[Cura settings for round holes (poor print quality)]

Try Optimize Wall Printing Order, it does several lines around holes all at once with leaving and returning. 

[Hole filled when sliced]

Sorry, had a few reversed normals. Solved. 

[Hole filled when sliced]

I don't have remove all holes checked.

The normals are not reversed. 

Make overhang printable not checked. 

 

Same results in Cura 3 or 4. 

right-side-front.stl

[Cura creates holes in mesh]

I just had the same problem coming from C4D. One of the intersecting objects had inverted normals. So the inside faces were outside. And when merged by the slicer it was making a hole where there was an intersection. In C4D the inside faces are blue when selected and the outside are yellow. If they're wrong select all the faces and run reverse normals. This fixed it right away.