So, as far as not feeling much during insertion of your fingers or a penis is really common. The vaginal canal isn't all that sensitive, especially past the first third, which is why most people with vaginas need stimulation of the first third or the outer genitals to feel pleasure.
With the discomfort, a lack of lubrication could be a major factor, since lubrication helps sex feel better. Were you using extra lube, or just the lube your body produced? You also mention that you weren't insecure, but were you also very aroused before you two started having sex?
Too, depending on the position and angle you two were in, he could have been bumping your cervix. If you two want to keep experimenting with vaginal sex, then trying out different positions, including ones that give you more ability to control the depth, may be the way to go.