Paprika is a type of "Bell Pepper". If you look at the Bearded Dragon Nutrition Chart you will find this listing
Food Item Ca
Protein Fat Fiber Sugar Water Notes
Bell Pepper (red) 1:2 .9% .2% 2.0% 92% High vit. C (19%), high vit. A (57 IU/g), moderate oxalates (1171 ppm) Feed occasionally
Paprika is high in beta -carotene(26162 mcg) & Lutein + zeaxanthn (18944 mcg ) ALL of which are needed by the pigment cells within the skin to manufacture the natural pigment color of the Bearded Dragon. This is why some "High Color" morphs fade. They are not getting the proper nutrients in their diet to maintain their high color.
This is why your dragon is coloring us so much. You are feeding it the caretinoids it has been missing in its normal diet. These nutriceuticals won't make a plain lizard beautiful, but it will help maintain the natural colors of a brightly colored pet. In this case beauty is skin deep. Bird fanciers have been using specialty foods for decades "Red factor Canary Food" is an example.
One should always be careful of specialty food items. Being related to safe foods is a fairly safe indication of being safe. But caution is still best by trying small amounts first.
I am surprised you noticed the difference so fast. Usually you have to wait fopr a couple of sheds to see any difference. The old skin has to be shed before the new skin made with the extra nutrient can be seen.