Is it better to bolt through both sides of the box or counter drill and bolt just the side flush to the wall?

For what purpose? It mostly depends on what purpose the box will serve. A safe with have different justifications than a structural component would.

I am lookig to erect a steel frame balcony 9 x 12 foot supported on two sides by wall fixing and the oppersite corner supported by a 4 x 4 inch steel upright

Hi all...

If I understand your question, then drill the first side of the box steel out and secure through the side against the wall... see image... ;)

In this manner the box steel will not compress and the bolt should stay put.

Mark