I think this shows the issue clearly.
I would expect to see two intersecting ellipsoids, with axis sitting behind (less visible due to being behind more than one layer). Here I plotted the smaller (closer) surface first. The impression is that both sit behind the axis, and the closer one appears behind the further because transparency is only with respect to axes. I have tried applying an alpha to colormap (suggested above), but I haven’t had much luck improving this
X = -40:5:40
ellipse1 = [X^2/2 + Y^2 + 2Z^2 for X in X, Y in X, Z in X];
ellipse2 = [X^2/2 + (Y-20)^2 + 2Z^2 for X in X, Y in X, Z in X];
v1=volume(ellipse2, algorithm = :iso,isovalue =350,isorange = 50,transparency=true)
volume!(ellipse1, algorithm = :iso, isovalue =700,isorange = 50,transparency=true)