I have never gotten a full box of new nickels. I used to regularly get full boxes of new dimes though. I kidded myself that it was my fault because of my 6 dime box a week habit. I tried teaching the tellers to screen out such boxes by looking through the holes. This worked at one bank and now I only get my dimes from them. Perhaps this is something that'd work for you?
I have never gotten full boxes of pennies either, but I have gotten boxes that are half brand new.
-Brian