If your a layer has media which has been laid down which has any thickness, using the pen tool over it on the same layer will create a 'dent', as the pen presses the thick media down towards the canvas with each stroke. An example is below. A Someonesane mentioned, importing an image loads it as thick paint, so you'd also get the same effect. Using the pen on a different layer will avoid pressing down into the media beneath.
If you haven't closed ArtRage and you see something you don't like, you can use undo ( ctrl + Z ) to remove multiple strokes, but if you've closed ArtRage, then reopened it later with this file, your undo stack will be cleared so you won't be able to make this correction.
If your lower layer doesn't have thickness of media on it, I wouldn't expect to see that though. I'll send you a PM with details on how you can send us a copy of the file so we can take a closer look to see what the story is if it doesn't match what I've described above.