Adding cayene early makes it less hot I have a favorite jambalya recipe. I usually saute the trinity (celery, onions, green peppers) for a short while before adding garlic and then a longer while later I will add my Cajun seasoning. For some reason the other day I did it differently and added my Cajon seasoning to the oil before adding the trinity and garlic (like I do when making Thai curry - adding the curry paste to the oil to start the cooking). I was surprised to find my final dish at the end was far less spicy (less hot) and there was less of the flavor from the Cajon seasoning. That surprised me. Slightly less spicy would make sense but this was WAY less spicy. I used the normal quantity of all ingredients so that wasn't the cause of the difference.
EDIT: DIshes made 3 days apart with spices that have been stored the same length of time (months+).
What is going on?
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.