Yes, they feel very different depending on the game. Iracing, Asseto Corsa, Game Stock car Extreme all have much better force feedback.
My pedal advice would be to use your left foot for braking. The time it takes to move your right foot off the gas and onto the brakes is time lost on the track. Also wear socks. Shoes are not a good idea unless you have a very high end pedal set. Socks slide on plastic pedals to give you more control over input. Time is the only thing that will get you better with a wheel. It took me a full month to start turning times comparable to a DS3 controller. But my times got progressively much faster. The way I got better with the wheel was taking my Karman Ghia to the Nordschlife. Slow car with a million corners.