For a reason not yet clear to me, a part of an assembly cannot consist of a hole through every thing else.
This means I have to have this, or these holes, though each of my stacked parts...
A part cannot be a hole. That is actually a topology issue. And I mean topology in the mathematical sense. You cannot mathematically/topologically define a hole without at least one surface. What you are referring sounds like some sort of boolean operation approach to designing your parts. Alibre is not supposed to be primarily used like that, unlike software like Spaceclaim, IronCAD, etc.
Now, what can you do? You can either design the matching holes in all of you stacked parts (you can even do it in one of them and then reference that in the rest of them and when changed in that one all of the other parts will automatically update), or go to the features tab in the assembly and create a hole or extruded cut through all of your parts.
Just watch out with the second options, because the cut will be shown in the assembly but it will not be propagated in the parts when opened on their own.
