Sorry, I'm not the original poster. I've been using Fusion 360, but get the same problem.
I.e. If I have two intersecting bodies in Fusion 360, and then export that component as an STL, Cura cuts the intersecting section out.
If this is not broken functionality, then I think I must be misunderstanding something. However I feel like the support article on this makes it pretty clear: https://support.ultimaker.com/hc/en-us/articles/360012614159-Mesh-fixes-settings
This is then followed by a diagram. To be clear, when I have "Union overlapping volumes" enabled, what I see is the image in the diagram captioned "Union overlapping volumes disabled".
If I am in fact misunderstanding how this setting is supposed to work, please let me know.