I read that with version 18 you can also make the grillings but I have the 17, with some trick I can also get a calandrated cylinder, but a cone no; It seems to me that years ago a colleague of mine succeeded but honestly I cannot imagine how.
the problem is frequent and at this link you will find a discussion on the topic
try to go into the pm3 tools window, in the parts section you will find the iconcin primitive forms!...and you will also find them the cone trunk.
It will create it as solid full, empty it giving it the thickness you want....