How to reproduce:
1. Download attached project file
2. Open "Bug" Scene
3. Enter Play Mode

Actual result: Object goes throw Box Collider and then jumps up to the expected position if collider Transform Y scale is lower than 0.07

Reproduced with: 5.6.4p3, 2017.1.2p3, 2017.2.0p2, 2017.3.0b9, 2018.1.0a4

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Won't fix: This blue box is too thin compared to the contact offset, so contacts are generated too late and the deepest ones are chosen by the heuristic it seems. This is the way PhysX works, we won't be able to change that soon. I suggest increasing the contact distance for the pair (or at least, the thin cube). In my test, 0.1 was more than enough.