Intersecting Surfaces are often problematic. The way to identify these issues is through going to Repair-->Identify Self Intersecting Surfaces. The model below is a good example of Intersecting Surfaces. Ideally, the CAD program exports a Sphere and a Cube without having the interior overlap highlighted in the picture below. Looking at the picture below, you can see that the term "Self-Intersecting Surfaces" starts to make sense, that these extra interior surfaces aren't necessary and will cause issue. In the case below, it would create a hollow region as shown in the second picture
Identifying the Isssue
If your model is missing sections, or having issues when slicing, I recommend going to Repair-->Identify Self-Intersecting Surfaces which will check your model for issues. You can also use the Cross-Sectional tool in many cases to find these issues.
From there, if you have issues with your model, I would recommend using NetFabb or uploading your model to this website https://modelrepair.azurewebsites.net/ .
You can also go to the Advanced tab and enable "Merge all outlines into single solid model" for a model like this. For certain models, Merge all outlines into single solid model will cause issue though, in which case you would want to use a repair website or repair software.
Use the feature Mesh-->Separate Connected Surfaces feature. If the models are sliced in the same process, then they will be sliced together without issue. If they have overlap and you slice as multiple processes (for instance a process for the cube and a process for the sphere) that would would cause issue since you would have overlap in the area of intersecting surfaces.