What happens and how you should remedy it depends very much on what version of NX you're using. If you're willing to go back to NX-2 then I may stand corrected, about what the translators do.
I have a couple of CATIA parts as exported to STEP and IGES. They each contain a block and a simple hole. Very simple geometry that I obtained to test with.
In NX-2 if you import the STEP file the double up face inside the hole is actually deleted upon importing it in to NX. All later versions plus the iges file and the original inside CATIA do exhibit the two faces inside the hole. So here's a tip to try importing it first to NX-2 perhaps.
NX-2 and NX-3 The Join Faces command works very well for a range of simple examples and can be found under Edit>Face>Join Face. It appears to require only one selection pick in most cases so I can see why it is favoured.
After NX-4 the Join Face command appears to have been discontinued, but delete face does work. It appears that delete face wouldn't work in NX-2 but does in NX-3 onward.
At NX-5 Edit>Face is replaced with new tools under direct modelling. So in either NX-4 or NX-5 you will need to at least pick each of the faces that you wish to remove, using either version of the delete face command.
It seems to me like the join face command was better at least in simple examples, but that for anything more complex it could perhaps have the potential to be difficult to control. I'd like to hear more comment about the relative merits of the changes to this command and the translators over the versions and whether what I'm reporting gels with the versions you are variously posting about.
Best Regards
Hudson