Interesting, does it to me too.
A few workarounds are to only extrude one direction, then 1) do a planar surface from your original sketch to cap that end, or 2)share the original sketch and to another capped surface the opposide direction. Both ways worked for me, made a shell box. I couldn't find any settings to change it, seems like an auto-boundry solid creation glitch, maybe the same internal code that solid extrudes use or something.
it is not an option. It was designed to be that way, and I do not know why.
Here is a similar thread about this issue: https://forum.solidworks.com/message/295013#295013
I guess I need to embrace this functionality - it was obviously done for a reason. I am sure that with a little thought and creativiity, I can accomplish the same thing using a solid body.
Here is what I do, shell the solid and then delete the inside faces, then it becomes an surface body. Now that all depends on the shape you are extruding as to how simple it is.
I don't know if this is a SW issue or a parasolid issue, sometimes it's both, sometimes not.