Found the same problem. New MUI onenote preview not having brush thinkness options is stupefying.
Tried changing default - no luck.
It's been this way for the entire of onenote preview so far as i'm aware. They changed the thickness a tiny bit last build and it was the perfect writing thickness (was too thin before leading to jagged scratchy writing) and now they've reverted back to a thin pen. Unfortunately i can't even get surface hub to open (opens a blue window, and then it closes) so i can try and change the sensitivity.