This is a simple mistake; basically, SketchyPhysics doesn't recognize the exact shape of the parts you have made (except in the 'special' case of the staticmesh, which cannot move). Instead, it essentially scales the selected physics shape to fit the bounding box of your group. To create complex shapes, with indentations, you need to combine simple shapes... for example, creating some grouped boxes, and then grouping them all together, keeping the overall group's physics shape set to 'default'