I have noticed this also ( I second ur example with Yogurt-it is chalky) and i totally agree wit you on Vex, it does apply unevenly.....
For me, toehr problematic eyeshadows have been:
Steamy ( I cant get this color to show up!)
Plumage(again, this color just applies unevenly on me)
Juxt (I cant get it to show up either)

I do think that part of the problem is the base that I use-I use Bare Canvas paint and I think it rather fades out colors, which is why im going to be looking into the Shadesticks in the future....