The explanation regarding the thickness visualization makes sense!

The inner diameter of the nozzle should be equal to the diameter of the hole in the shell (600 mm). If I split and delete the thin surface at the inner diameter the hole would become to large. I fixed this by copying and pasting the inner surface of the nozzle instead of the outer. Then in Mechanical I assigned the thickness of 12 mm in order for the nozzle to meet the reinforcement pad. The connections in SpaceClaim now looked like this:

I'm still not completely convinced regarding the stress concentration. The maximum stress appear to be increasing as I am refining the mesh. Maybe the stress concentration may be an artificial one due to a sharp corner singularity? On the other hand, this seems strange since the "sharpness" of the corner is the same all the way around the circular edge but the stress concentrations are only appearing on the two opposite sides. Do you have any suggestion on how to determine this? I can't find the convergence option for automatic mesh refinement. Maybe it is not available for shell elements?