It looks like there has been a change in Photoshop that makes it not recognize pen pressure anymore. After trying out various tips and tricks I came around http://forum.wacom.eu/viewtopic.php?f=2&t=19462. To make it short - you have to create a custom config file and restart Photoshop.
* Photoshop CC 2014 changes stylus use to use Microsoft system API's, with these API's you need to have Windows Ink enabled. These API's give better stroke results and improve the out of the box experience for users using Windows tablet/convertible devices. If you want to go back to the old WinTab implementation of previous versions do the following:
Create a file that contains instructions to revert to the WinTab functionality.
Create a text file in a text editor such as Notepad. Type in the following lines:
#Use WinTab UseSystemStylus 0
Save the file as a plain text file named PSUserConfig.txt, and save the file into the Photoshop settings folder:
C:\Users\[User Name]\AppData\Roaming\Adobe\Adobe Photoshop CC 2014\Adobe Photoshop CC 2014 Settings