I always extrude the feature (past the outer wall or until extended) shell, trim body then finally untie. Trying to unite a bunch of features prior to shelling can cause problems especially while surfacing. I've seen countless times were the bodies will not unite because the faces are not intersecting like you've shown. Sometimes the surfaces being extracted or created are slightly off. I use NX but all seems to have the same issue with uniting bodies after shelling.
I always extrude the feature (past the outer wall or until extended) shell, trim body then finally untie. Trying to unite a bunch of features prior to shelling can cause problems especially while surfacing. I've seen countless times were the bodies will not unite because the faces are not intersecting like you've shown. Sometimes the surfaces being extracted or created are slightly off. I use NX but all seems to have the same issue with uniting bodies after shelling.