I had that problem on a few of my early pens also. IMO it was caused by:
1. hitting the bushings with the sandpaper, The bushings are not going to get sanded down as fast as wood (softer the wood, the more dramatic the difference) and the bushing will "protect" the wood closest to it, with that protection easing off the farther away from the bushing you get, as the sandpaper will curve inward>
2. Sanding too much and/or with too much pressure. Relying on sandpaper to get you to final size and or profile can cause several problems. This being the main one, but if you're working with material that has varying densities (like heavily spalted woods or things like Palm, that have very hard and very soft areas) you can get severe non-rounding as the soft parts are removed at a higher rate than the harder areas