In addition to what Mal said, some might say that cocobolo and other rosewoods are difficult to finish because they are very oily woods. I have never had a problem with this, but since fairly early in my penturning I learned to clean the blanks with denatured alcohol (just on a paper towel) which can help with these issues.
As for filling in open pores, like Mal, I usually suggest sanding aggressively then work up to about 2000 grit then clean with DNA and reapply CA, repeat sanding until there are no shiny pits left. Finish with a few coats of thin CA to make sure that the sanding didn't leave any bare wood exposed. This will fill in the pores with CA and give you a glossy smooth finish. Other folks recommend creating a sanding slurry with medium CA while sanding on the lathe, this fills the pores with a mixture of CA and wood powder. Let the CA cure and then turn back down to wood and sand smooth, then finish with normal CA method. This tends to be faster, but in my opinion isn't quite as nice of a finish. This issue is very common with Wenge, if you search the forum for "wenge" you will probably find more thorough explanations.
As for the pen, great work! If you were totally satisfied with the result, you probably wouldn't make pen number 6. Thats what keeps me coming back anyway. Pick out something that you don't like about the pen and try to resolve that issue with the next pen. Keep it up, you are off to a good start!