maybe I don't undrstand you well , but at me works...at least in R2014..
The steps made in order to achieve it:
Because you already used Void in order to shape your volume, this can not be used anymore in perforating the wall and another Void would anihilate the shape.
I suggest to make a new family Generic Model Face Based (or wall based) in wich to include as nested family your family.
In this new family you can create a void that follows the shape of the nested family.
Once loaded in Project this will cut the wall....
I have attached the .rfa....
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