"Threre really is no thick 3D objects."

Thickness is an important consideration because it sets the boundaries for material properties like refractive index, subsurface scattering etc. The box you mentioned could be filled with air but it could also be filled with wine, blood, glass, diamond etc. Distance between the surfaces, their relative placement and material definition can give the appearance of thickness.

This is not really specific to Milkscape, but one way to represent thickness, for say a bottle, is to duplicate the surface and scale it (proportionally constrained) in just a little – then attach the surfaces. For polys that would be to grab all the faces then extrude them in (locally) just a little.