xvimbi--
I have a Yamaha P120 which I play with headphones and have the same experience trying to play pp. I keep the touch set to "Heavy" because all other settings make it virtually impossible to achieve pp. Even so, the P120 simply does not respond like a well-regulated acoustic, and the amount of restraint needed to produce pp on the digital is excessive. In fact my experience is that the digital responds oversensitively in all dynamics, so that when I play an acoustic, I have to ratchet up everything, increasing arm weight to produce tone. If I play an acoustic with the same weight as the digital, I find that all my dynamics are now shifted down two notches, so that ff becomes mf, mf becomes pp, and pp doesn't even produce sound! Maybe your PF500 is better calibrated than my P120, but that's my experience.
This problem is much less noticeable when I play using the built-in speakers, but they are of such poor quality that, even with the sound turned up full, the quality of the sound produces is still a mere shadow of what you hear on the headphones.