In my first ever lucid dream, I attempted to push my hand through a wall. What I got instead was a huge imprint of my hand on the wall. Though the wall was pushed in with ease, my hand could not go all the way through it.

I think reality checks are pretty subjective. There are some that work without fail, for instance: plugging your nose and still attempting to breathe through it. In your case with the hand-through-hand check, my guess would be that you have to press hard simply due to the ingraned laws of physics that surround you in your waking world. Your brain knows that in reality, it is not possible to fit your hand through the other. Since your dream is still sensed as a reality by your mind, without the explicit realization that you are dreaming, forcing your mind to comprehend this, you will not be able to defy any of these laws -- without practice, of course.