I have tested all PSTricks closed curves:
\psframe\psccurve\pspolygon\pswedge\psellipticwedge\pscircle\psellipse
and I noticed that only \pscircle and \psellipse do not lift the pen (or liftpen=2) before drawing their shapes.

\documentclass[border=12pt]{standalone}
\usepackage{pstricks}
\psset
{
fillstyle=solid,
fillcolor=cyan,
linewidth=2pt,
linecolor=red,
}
\everypsbox{\color{red}\bfseries\LARGE}
\begin{document}
\begin{pspicture}[showgrid](-4,-5)(4,7)
\pscustom
{
\psframe(-3,4)(3,5)
\psccurve(-3,2)(-1,2)(-1,3)(-1.5,2.5)
\pspolygon(1,2)(3,2)(2,3)
\pswedge(-2,0){1}{0}{270}
\psellipticwedge(2,0)(1,0.5){0}{270}
\pscircle(-2,-3){1}
\psellipse(2,-3)(1,0.5)
}
\rput(0,6.5){Default Behavior}
\end{pspicture}
\qquad
\begin{pspicture}[showgrid](-4,-5)(4,7)
\pscustom
{
\psframe(-3,4)(3,5)
\psccurve(-3,2)(-1,2)(-1,3)(-1.5,2.5)
\pspolygon(1,2)(3,2)(2,3)
\pswedge(-2,0){1}{0}{270}
\psellipticwedge(2,0)(1,0.5){0}{270}
\moveto(-1,-3)
\pscircle(-2,-3){1}
\moveto(3,-3)
\psellipse(2,-3)(1,0.5)
}
\rput(0,6.5){With \textbackslash moveto()}
\end{pspicture}
\end{document}
Is it a feature by design or a bug?
NOTE:
I intentionally put all objects inside \pscustom to show the current point effect. I am not talking about how to draw a solid rectangle, a solid polygon, a solid wedge, a solid elliptical wedge, a solid circle, and a solid ellipse.
Responding Herbert's comment "it is totally nonsense to use a closed curve inside \pscustom which itself creates a closed path", I show an example where closed curves are sometimes needed inside \pscustom to make a transparent hole. The following edit is necessary to show more complicated scenario rather than just a single simple ring.

\documentclass[pstricks,border=12pt]{standalone}
\usepackage{pstricks}
\begin{document}
\begin{pspicture}[showgrid](4,4)
\pscustom[fillstyle=eofill,fillcolor=red]
{
\pscircle(2,2){2}
\moveto(3.75,2.25)
\pscircle(2.75,2.25){1}
\moveto(1.25,2.5)
\pscircle(0.75,2.5){0.5}
\moveto(2,1)
\pscircle(1.5,1){0.5}
}
\end{pspicture}
\end{document}


\pspolygon(-4,-4)(-4,3)(4,3)(4,-4)to show why\pscustomis useful (I don't know how to reverse\psframe)... – Paul Gaborit Aug 2 '12 at 6:41