Yes, the glans (head) of the penis is very sensitive. Most uncircumcised men don't touch it directly when masturbating - they use their foreskin to protect it, just like you did.
If you're going to pull your foreskin all the way back, yes lube is extremely useful in stopping the friction that makes direct touch uncomfortable. Unsurprisingly, lots of circumcised men use lube when masturbating.
Yes, it's normal for the head to bend down then - it's being pulled by the frenulum.