I faced all this problems a long time ago... But I though I was doing something wrong.
PhysX is implemented really badly... too many bugs, and too many little things.
But, hey, is there any sense in saying this? jcl doesn't give a s**t about our problems.
As I got banned at once for saying truth, he told me:
"Read manual and all of your bugs will flawlessly disappear."
But why even if I read manual, I can't just make another shape for BBOX (simply cause I want another shape)!
Why do I still get bugs with PhysX (jcl said that it's about year since it's implemented, year is good enough to make it stable)?