Personally, i’ve only ever “lead” or thought about the feeling about the pick on my thumb. It has way more control over the pick due to its orientation with the pick being on the pad, while with the index, it’s just placed on a knuckle so not much control there. But this only applies to grips like mine.
My lessons with Wes Hauch taught me the utmost importance of not having a death grip on the pick, and being hyper aware of how hard you hold the pick in general. After he loosened my death grip and I learned just how little effort was needed, I’m under the impression that 90% of guitarists at least, are holding their pick too hard.
And as for why this is important: Wes, and now I, believe that ultimately dynamics comes from how much you allow the pick to move in your grip when it crosses the string. Hold it tight, and it pushes the string back further, hold it loose, and it doesn’t go back as far.
Whether or not this belief is correct, it’s still insanely useful. It allows you to completely control your dynamics from a single thing, pick grip. Before I thought it was a lot of things, like the speed of the pick, how much strength I put into the motion, the “wind-up” distance, etc. Now for my playing, I get my dynamics solely from squeezing the pick more or less.