>If you want to have a hole going all the way from the top to the bottom, then you could get that by selecting both the top and the bottom faces before doing the shell.
That's the trick :)

< One face + 2sides
Tricky indeed!

Seems shell a very poweful function in expert's hands :)

< The other thing is that it is possible to just select the whole solid object instead of any faces, and this will create a hollow cavity within the solid
Yes cavity is inside but not very easy to select something after that :)