Think of 3d coat voxels like photoshop resolution. To achieve extreme detail in a image or painting you need a lot of resolution. In this case we are talking about voxels instead of pixels. I believe you are creatinig your initial object too small without giving it more resolution/density. The smaller an object is in the scene the more density it will need to keep its shape. Try scaling your proxy up to 3 or 4 times the size and then apply. Your shape will look alot better. If you must keep your new object at this size, you can increase the density of your voxel layer berfore applying the shape. Use the "Increase Resolution" button at bottom of your Voxtree palette. You will see a 1x, 2x, 4x, etc. next to your layer name as the density of that layer increases. This will give your layer enough density to retain such a small object. Then apply your primitive into the scene.
If you notice in the bottom of your window you will see some stats about your object. From your image the object only contains 4k polys. Very low res.