I think what people often don't realize about many Thai curry pastes is what is not in them and this applies particularly to the main brands of imported Thai sauces like Mae Ploy for example. Let's take the Panang paste, this should have quite a pronounced peanut taste but if you check the label you will will search in vain for peanuts; fish sauce so essential to a Thai curry also missing. Why? The answer lies in the way these pastes are prepared on the production line. The ingredients are mixed and ground but then instead of being cooked in the conventional sense of the word they are instead pasteurized. This is a fast convenient process. The problem lies in the fact that there are certain ingredients that you can't use this process on, peanuts and fish sauce being among them. They use salt (a lot of it) to try to replace the saltiness of fish sauce but this lacks the aromatic factor that fish sauce provides. This can make it difficult for the cook to add fish sauce to the dish as it is already quite salty. Also although you may see shrimp paste on the label they are being a little disingenuous here; it is not Thai shrimp paste as we think of it but rather shrimp powder, I suppose if you mix it with some of the ingredients you can get away with calling it a shrimp paste. A poor imitation of the real thing though.
So onto the fact that your Panang curry doesn't taste like a Panang curry you eat in your local Thai restaurant. Well you might be surprised to learn they probably use the same paste as you do! What, you think they make their own pastes? Almost never. Yes there are exceptions, Pok Pok restaurants in the US being a good example with chef Andy Rikker describing the commercial pastes as "horrible" but for the most part many Thai restaurants will use them.
When you see a Thai person pushing their trolley around an Asian cash n' carry that is loaded up with industrial sized tubs of curry paste you can be reasonably sure they are not just stocking up their home pantry in case of a coming Armageddon.
They then customize the sauce for use in the restaurant, in this case maybe ground peanuts or often peanut butter, a lot of sugar so they can then add Thai fish sauce without it tasting overwhelmingly salty. Maybe chop some coriander stems in to disguise the fact that only coriander seed is used in the commercial paste instead of coriander root.Depends on the restaurant, they all have their own methods.
There are also some supermarket brand pastes that may well use peanuts as they use a method more akin to pressure canning, these are generally rather insipid concoctions though and best avoided.
So if you want to try making your curry taste more like one you had in a restaurant that is how you do it if you can't get the fresh ingredients to do it yourself. Also if you google "mythaicurry" you can buy pastes online that are cooked by more traditional methods and are far more authentic and will most likely surpass anything you have ever had in a Thai restaurant. They also have a good section on how to cook with coconut milk.
I'm a chef and worked in the development kitchens of some major food producers hence my knowledge of the techniques and limitations of commercial food production.