Dolley Madison states that her husband sent two messages "written with a pencil". Why might she include this phrase in her letter?

Because it is something that is unusual for him.

Explanation:

For Dolly Madison that detail sticks out because it refers to some unknown need for objects because she understood that her husband would not generally be writing out with a pencil on the parchment.

He was a rather old fashioned man and took great care of his letters so that he is writing both with a pencil would suggest to her that something is not right.

Him only having an access to pencil would suggests so certainly.