I would guess the angle of the dildo was different than the angle of the real thing. I have a tilted uterus and when going through my pelvic exam if things are not placed quite right there can be quite a bit of pain.

I don't know the best way to describe this and I'm sure someone more intelligent than I will explain it better, but I have experienced the "depth" issue with my own dildo. It seems to be dependent upon my excitement level - the more excited I am... the longer my session of play has been the deeper it goes.

I agree with Lou on the hymen issue - I'm still a virgin but am pretty certain my hymen is long gone though I can't say when it went.