Ella, as you have noticed, how a brush "paints" on a layer depends on the type of brush you are using. So, as you mentioned, the behaviour of a pencil is different than the behaviour of a "Thick Paint Brush". Different media act differently from each other in the hopes that they would behave in a way that you would expect from traditional media, but obviously, from your post we are not meeting that goal for you.
If you open your Layers palette in the Drawing & Painting area and you create a new layer, depending on which media you first paint with on a layer, the Layer Type icon (the one that looks like stacked pieces of paper) may change to a red colour eg: it changes to red if you first paint on a new layer with a pencil. Whereas if you create a new layer, paint on it with a "Thick Paint" brush and then draw with a pencil, you will notice that the Layer Type icon stays grey and depending on what you have beneath that layer, you may notice some white jagginess around your pencil stroke. This is because of the "Layer Mode" that is being set in the background depending on the media you are using. We have not exposed the Layer Mode control to the user because Layer Modes can be complicated to understand, instead we tried to focus on having the media "just work" as you would expect it to.
So, all this to say that in order to leave a stroke with the colour intensity that you are looking for you may need to use a brush instead of a pencil.
I hope this helps. Please keep experimenting and don't hesitate to let me know when you come across anything else that doesn't "feel right" to you.
Thanks
Jennifer