not at all. intercourse is not necessary for a female orgasm. most women are unable to have an orgasm just from intercourse.
the outside is more sensitive than the inside. but the farther in you go, the more pleasurable it most likely is because there's more contact, more nerves are stimulated, which should lead to a better feeling. however there are probably more nerve endings on the clitoris alone than on the whole inside of the vagina.
Many girls also need to help things along by touching there clitty while they have sex. Also to a woman the whole experience counts alot, not just the intercourse. A good foreplay making me hot and ready and orgasm is no problem.