As CCWieland as so eloquently explained,
but I will add, the cut through, as with most operations with the knife tool, works based on the angle of view.
and you need to draw the line on across all the visible faces you want to cut through, as CC has in the last image, top and front, just the front or just the top won't cut through the object.
I'll be the first to say that I don't know what I don't know.
However here is what worked for me in 3.4.1:
1) Add a cube in the viewport. Go into Top Orthograpahic view (#7 on the numpad)
2) Hit the K shortcut and then the C shortcut. And as Omar said, make sure you see C: Cut Through (On) and not C: Cut Through (Off) in the shortcut list on the bottom. I not, toggle the C key until you do.
3) Shift + Left click a vertice on the left edge of the top face. Do the same on the right edge. Stop! Your cube should look like the left side of the attached image. If you rotate the cube slightly, your cube should look like the right side of the attached image with 4 red vertices. Hit the spacebar and you are done.
However I did notice inconsistant results in other views such as User Perspectice. Sometimes it worked and sometimes it didn't. Buggy perhaps? Like I said, I don't know what I don't know.
Cheers!
