I solved my problem, but it felt unsatisfying compared to eg. extrude tool.
My goal was to create a square extrusion which can nest with itself.
I wanted the walls of my object to be a fairly consistent 1.2mm, I didn’t want too much play.
I sketched a concentric square, then another offset 1.2mm inside, then another, .3mm inside that, and another 1.2mm inside that.
I then copied this sketch z+11.7mm, z+12.7mm, z+25.4mm.
I’d hoped to be able to simply select the inner face on the lower level, extrude straight up to the next level, select the outer face on the next two levels and get a nice angle.
Unfortunately, it failed to solve this as an invalid shape.
So then I successfully made a solid from the inside - a space supposed to be empty on the final object, this worked as expected. I hid the body.
I tried to create the same with the outside of the shape. It seems that unlike extrude, you cannot select multiple coplanar faces in order to create your actual face on the plane. I deleted the inner rectangles leaving only the outer face on each plane. I was then able to create another shape using loft. I then subtracted the first from the second and created the body I wanted but this seemed like a lot of extra work.
It would be great if you could make the hollow loft work as well as the hollow extrude does, but if you can’t, being able to select multiple coplanar faces to form a solid face would be the next best thing.