Hmm, that's odd but sometimes you can get a pen with a bad spring or dialing mechanism. I've had some ridiculously bad Lantus and Novolog pens where I practically needed a wrench to get the full dose in, and some Humalog pens where without the "clicks" you'd wonder if anything happened at all.
So far with Tresiba I've found the pens to be quite good (never had a problem with Levemir pens either). If you remain concerned you can always call them. If your skin resistance is high you might consider drawing the insulin from the pen with a syringe and doing it that way, at least until you can get it in a vial (I don't think Tresiba is available yet that way, at least in the US).