Quality Matters. Not all colored pencils are the same. Cheap colored pencils tend to have harder wax leads and less pigment which mean they produce less vibrant colors and have a tendency to leave some white spaces uncovered in the grain of the paper. Because the lead is hard, cheaper pencil leads often have a tendency break and if the lead breaks throughout the length of the pencil you can be left with something that is unusable.
I think the biggest problem people have when drawing with crayons is that they regress to being five years old again. They hold the crayon like they're coloring again, instead of applying it like a fine art medium. Another problem is that many people want to make it perform like colored pencils. While similar in application, they are quite different. You should not use crayons and expect them to behave like colored pencils. You'll be setting yourself up for disappointment.