Drawing points of handwritten stroke using DrawEllipse (GDI+)

I'm working on an application that draws handwritten strokes. Strokes are internally stored as vectors of points and they can be transformed into std::vector<Gdiplus::Point>. Points are so close to each other, that simple drawing of each point should result into an image of continual stroke.

I'm using Graphics.DrawEllipse (GDI+) method to draw these points. Here's the code:

// prepare bitmap:
Bitmap *bitmap = new Gdiplus::Bitmap(w, h, PixelFormat32bppRGB);
Graphics graphics(bitmap);

// draw the white background:
SolidBrush myBrush(Color::White);
graphics.FillRectangle(&myBrush, 0, 0, w, h);

Pen blackPen(Color::Black);
blackPen.SetWidth(1.4f);

// draw stroke:
std::vector<Gdiplus::Point> stroke = getStroke();
for (UINT i = 0; i < stroke.size(); ++i)
{
    // draw point:
    graphics.DrawEllipse(&blackPen, stroke[i].X, stroke[i].Y, 2, 2);
}

At the end I just save this bitmap as a PNG image and sometimes the following problem occurs:

When I saw this "hole" in my stroke, I decided to draw my points again, but this time, by using ellipse with width and height set to 1 by using redPen with width set to 0.1f. So right after the code above I added the following code:

Pen redPen(Color::Red);
redPen.SetWidth(0.1f);

for (UINT i = 0; i < stroke.size(); ++i)
{
    // draw point:
    graphics.DrawEllipse(&redPen, stroke[i].X, stroke[i].Y, 1, 1);
}

And the new stoke I've got looked like this:

When I use Graphics.DrawRectangle instead of DrawEllipse while drawing this new red stroke, it never happens that this stroke (drawn by drawing rectangles) would have different width or holes in it:

I can't think of any possible reason, why drawing circles would result into this weird behaviour. How come that stroke is always continual and never deformed in any way when I use Graphics.DrawRectangle? Could anyone explain, what's going on here? Am I missing something?

By the way I'm using Windows XP (e.g. in case it's a known bug). Any help will be appreciated.

I've made the wrong assumption that if I use Graphics.DrawEllipse to draw a circle with radius equal to 2px with pen of width about 2px, it will result in a filled circle with diameter about 4-5 px being drawn.
But I've found out that I actually can't rely on the width of the pen while drawing a circle this way. This method is meant only for drawing of border of this shape, thus for drawing filled ellipse it's much better to use Graphics.FillEllipse.

Another quite important fact to consider is that both of mentioned functions take as parameters coordinates that specify "upper-left corner of the rectangle that specifies the boundaries of the ellipse", so I should subtract half of the radius from both coordinates to make sure the original coordinates specify the middle of this circle.

Here's the new code:

// draw the white background:
SolidBrush whiteBrush(Color::White);
graphics.FillRectangle(&whiteBrush, 0, 0, w, h);

// draw stroke:
Pen blackBrush(Color::Black);
std::vector<Gdiplus::Point> stroke = getStroke();
for (UINT i = 0; i < stroke.size(); ++i)
    graphics.FillEllipse(&blackBrush, stroke[i].X - 2, stroke[i].Y - 2, 4, 4);

// draw original points:
Pen redBrush(Color::Red);
std::vector<Gdiplus::Point> origStroke = getOriginalStroke();
for (UINT i = 0; i < origStroke.size(); ++i)
    graphics.FillRectangle(&redBrush, origStroke[i].X, origStroke[i].Y, 1, 1);

which yields following result:

So in case someone will face the same problem as I did, the solution is: