I think hole depth options should be improved. It would be helpful if it let you select not only surfaces but also points as other softwares let you do. Other problem I have detected is that if you select till selected or till next methods, sometimes NX is unable of solve the depth. In some cases, this is caused because the surface it have to reach doesn't cover the whole section of the hole you are creating, but this should not be a problem as it is not for other softwares.
I think hole feature would be better if it let you use any method (not only hole series) to make holes to several bodies. I mean, you input size, thread lenght and total depth and the program solve how it affects each body. It works this way in other softwares and I find it quicker for some purpouses (machining welded parts), beside that if you want to make a threaded hole to several parts with treads in every part, you can't do that with hole series method.