Altium: Place a component "inside" some other component
A top tip if I may, Altium can export a step model of a board including any 3D bodies you have defined. 

Do this for one board and create a component with that model as the 3D body, use this on the other board with a suitable offset to match the board to board spacing. 

Finally create a rule to allow the connector on the board to collide with the component you have created. 

This makes checking for a clash in 3D space very easy, and means you can export a 3D model of the complete assembly for the mechanical guys trivially.

This is especially useful when you have two boards with tight spacing and components on both sides as it allows the DRC to check that for example C23 on the top of board 1 does not collide with U2 on the bottom of board two.