If I have a model that I got from a website, and there are holes or some flying objects inside this model, is there a way to increase the density of the layers or increase their thickness in the hope that the models will stick together (for example, a car with several things inside that did not stick together or have holes in it) that cannot be exported to STL?
Not without first converting them from STLs to a BRep format. The most reliable and cheapest method is to use Fusion 360 to convert to BRep and then export as STEP. The STEP file can then be imported into Shapr and modified.