You are absolutely right about clearing immigration, but that is different than Customs.

Indeed, if you flew into France and then had a connecting flight to Switzerland (which is a Schengen country but not a EU country), if you had to clear Customs upon entering France you would have to clear it a second time when getting to your final destination.

This way there is one Immigration check (after arriving in Schengen) and one Customs check (at your final destination).

In reality, if you connect from a domestic flight (say, FCO-Linate) to an airport which does not usually take international flights, the odds are good that you will never see a Customs official.