Might be a pain to do, but if I where trying to find out what going on I would take the building that is not going as I would like and put into a world all by itself plus my character and then see if works, if it does then I will know its not the building but some else.
your picture above seem to prove that the character capsule is correct so it not that.
Can't see if the building is set right as you may not have switched on all the de bugger bits that show things like boundaries and other checking states, otherwise it looks like it should work you can clearly see that it does not.
Could you just post part of your code that show how you load your world and then what you use to make it phy static, might see some thing there, however I don't think there will be anything as that part is very limited on what you could do wrong.
the only other thing that comes to mind that might be doing it is phy skin width. however I don't think that works on static parts.
Another thing I would do to check, would be to set up a way of filling a building with small spheres, fill up the model, if they stay inside then model is not set right, if they all fall out then, time to start look elsewhere.
another thing I would do, is to load the character demo that comes with DarkPhysx add the de bug enable line and see what that looks like in the visual debugger, how does it show an opening. then see if you are seeing the same in your world.
Most of the time with physx, its something simple that it get missed because we think it can't be that.
hope this helps a bit more.
Dark Physics makes any hot drink go cold.