What!? I know your saying "I know how to sharpen a pencil!" but the reality is, some people do not do it correctly.
It is a simple task but when not done right you can risk breaking the lead, splintering or a mixture of both.
First and MOST important, don't use a cheap and nasty sharpener. Using one of those is a bad idea no matter how you actually sharpen it.
When sharpening your shiny new and expensive colored pencils make sure you turn the sharpener around the pencil and do not turn the pencil in the sharpener. This sounds like it would make no difference but try it next time. You will see the texture of the wood (or compound) has a vastly different texture compared to turning the pencil within the sharpener.