Interesting. This same topic was brought up by another user on another forum recently.
So it sounds like you've defined a component for your shield box (a neat idea). Unfortunately PADS doesn't deal well with components mounted under components; it considers it a body to body clearance violation. This might be a popular topic for Bright Ideas, to support 'components less than xxx mils under component yy'. These seems like a natural extension of the 'geometry.height' attribute to apply it to items on the PCB as well as items off the PCB. I'll vote for it!
One workaround may be to define the RF shield as a 2D Line item instead of a part and then define a height keepout where you place it (I believe this will have to be done manually as you can't define the keepout in the library). The BOM gets tricky then.
This is a common thing that users want to do. Reasons for it include defining footprints for mezzanine boards and as you say RF shields.
I think the way to do it is for Layout to allow the user to define a placement exception area within the part.