Adding cayene early makes it less hot
Cooking over high heat causes capsaicin (the hot chemical in chiles) to break down and to vaporize, leaving less in the finished dish. There's a huge difference between cooking in water at 95C vs. in hot oil at 150C; simmering only causes losses of up to 1/4 of the capsaicin, while frying can cause much greater losses, up to 90%.
So by adding the cayenne pepper earlier, you were cooking it at hot oil temperature, and thus lost the majority of the spiciness.  If you'd waited until the vegetables broke down, the water they release lowers the cooking temperature to near boiling, and thus little hotness is lost.