We have been running an integrated UG/SE system for about 16 months now and have had no major problems. We also have Mechanical Desktop and successfully import models in from that via SE to UG for tool pathing with no major problems.
The types of models we deal with range from simple through to...
We are currently running SE V11, and not having seen SE V3 I don't what the limitations are. Certainly in V11 you can put a hole through a curved surface simply by putting the hole on a plane perpendicular to the axis of the hole you wish to generate.
I hope this may be of some assistance.
As well as being able to open the UG file in Solid Edge, you can also maintain associativity if they are on the same network, i.e. you make a change to the UG part and the part updates in SE.
