I'd say that's far less a universal truth than a subjective preference and something that also varies by circumstance. Sometimes wet is nice and thick can be good, although I often find thinner diapers more comfortable. I think I'd say the DL side of me has a lot of different ways to enjoy diapers or diaper states.
I agree with Trevor, sometimes thick and wet is fine and other times not, sometimes a break from cathing and diaper changing is in order and I'll sink a foley and wear a bag instead, alot had to do with how you feel over all , even ICDL need a break sometimss.
I think I liked it the first time I ever tried a thick diaper. Don't remember when that was but I know it was a Dry 24/7 I tried and at that time it was the thickest one I ever tried. Now though I am more used to Rearz which is the thickest one I have ever tried and those feel great when soaked. So I think its safe to say I am a big fan of soaked and thick diapers.
For me to get the wet feeling from thick diapers, it'd take me about 4-7 wettings. When it's halfway full, I put snug undies over the diaper to reduce the sag (my onesie also helps). And when it's completely wet, it can be one of the greatest experiences of warm wetness. For one thing, you won't get cold during the next few changes.