Thanks for the quick response. Its good to know that I can get either result depending on how it is exported.
I can now understand why Cura is creating the hole. When the two parts are exported in one .stl, it helps to imagine that Cura wants to be able to fill the entire part (cylinder + box) with water in one filling (rather than filling the box then the cylinder). This explains why the hole pierces all four top-layers of the box.
When you import a model into Cura where several part are in the same STL file, the geometry is considered as a single part. That's why you get this result. But if you stack the same part from two different model in this case Cura knows that it's two part and you get the second result . Hereafter the same geometry but on the right it's one STL import and 2 in the first left case.
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