Are pins supposed to have the same thickness by some standard?
The DHT-22 has 0.5mm nominal leads, which is similar to other through-hole parts. For example, the 1N4148 (JEDEC DO-35) has leads that are between 0.46 and 0.55mm (so about 0.5mm nominal).

The female receptacles on the jumpers are probably made to fit the Molex KK 2.54mm pitch standard (0.67mm square) header posts, so they will be loose and maybe unreliable on 0.5mm round leads.