While I have not turned hundreds of pens to say I have an incredibly large sample size, I have turned maybe 25 or so that I did a CA finish on, and I can say that, for me, the only real impact on gloss was my post sanding/buffing/polishing routine, not thickness of finish. The one time I finished a 50 cal using porous wood with thick CA it still came out semi-glossy, it just wasn't perfectly even.
I guess the more layers you add, it would change the look from a technical perspective, but in my experience the material underneath can have as much of an impact on that look than the thickness. I finished the black trustone Majestic with 6 layers of CA, and I finished my scalloped walnut with just as many, both equally MM polished, and the wood one looks like it's under glass, where as the trustone just looks more glossy.