I don't remember where I read this - but here goes:
Paprika is from a Hungarian sweet red peppers - and most of the paprika you find in the grocery stores is "roasted" or "hot" paprika. Sweet paprika is made from the same chiles - dried and ground but not roasted. Paprika is used for the flavor ... not for the heat.
Cayenne pepper can be used as a substitute - although it is much hotter.
I've got 3 cans of imported Hungarian Paprika - sweet, mild and hot ... personally, while there is a little difference in heat, the main difference I notice is intensity of flavor.
"It ain't what you don't know that gets you in trouble. It's what you know for sure that just ain't so." - Mark Twain