I thought rain was just some kind of screen animation(not sure what it's actually called), so that's why it goes through buildings because the rain isn't physically there.
There are two types, screen effect and moveable static, the latter is a huge invisible box with animated rain drops, it's tied to the players movements(while outside), so when a player goes under a shelter so does the moveable static.
Yes, it has been confirmed that rain and snow clip through objects, but I've never seen Bethesda claim they fixed it.