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When Christopher Columbus landed in the Bahamas in 1492, he was the first European to have an encounter with any sort of chile pepper plant. He brought the ancestor of all paprika back with him to Europe and specifically to his patrons, the Spanish monarchs Ferdinand and Isabella. The king and queen did not care for their fiery heat and sent them to a monastery to be studied. These monks sent them further along across Spain and Portugal. From there, chile peppers made their way across Europe. Some peppers stayed spicy, like those in Calabria, but other European cultures experimented with their breeding and created the sweet and flavorful varieties of peppers that give us paprika today. 

When substituting, use common sense. Cayenne pepper is as much as 50 times hotter than sweet paprika, so a 1:1 substitution wouldn't work unless you want some heat—the right substitution, in this case, would be 1/3 of a teaspoon of cayenne per 1 teaspoon of paprika. Make an informed decision, but also use thorough recipes that might suggest reasonable substitutions.