Yes, gluing/cutting components can only cut holes on raw geometry, not on groups/components (but of course, they should be able to cut that holeon the raw geometry inside a group/component) as Shura says.
Once a component lost its ability to cut a hole (or has been unglued), it cannot retain this ability any longer with native SU tools however. Now we have a nifty plugin, "Superglue" by Thomthom that will re-glue (and cut) these components.
YouTube - Superglue Plugin for SketchUp by ThomThom
[flash=480,385:ba83iujs]http://www.youtube.com/v/VS8-tjYTPXM?fs=1&hl=en_US[/flash:ba83iujs]