I've had a similar problem with my first 2 all-grain brews, both of which were 1 gallon batches. The first was a blonde brew-in-a-bag, starting at 1.040 (missed OG because book's recipe didn't calculate efficiency when making the grain bill). Cooled, aerated, pitched Safale US-05 and constantly checked on it- the krausen was thin and watery, never building a nice foam on top. I kept the mash temp at 152 for the whole hour. Final gravity was 1.012.
The 2nd all-grain 1 gallon batch was a modified edwort's bee cave brewery haus pale ale in a 2 gallon MLT. Had bit of trouble with mash temp, tried to keep at 152 but it dropped down to 149-150 a few times. I cooled, aerated, and pitched the same yeast, US 05. Starting gravity was 1.062 and the same watery, thin krausen happened again. Bubbles would come up and form larger ones then disappear. I thought, maybe i mashed too low and have a super-fermentable wort with no protein. Haven't taken final gravity reading on this one yet, giving it a few more days. I kept checking on this one too so no way I missed a krausen.
Then I brewed yesterday, a 1 gallon extract batch with specialty grains- american wheat. I used the same water and same yeast, US 05. Only difference was an extract batch. I cooled, aerated, and pitched same yeast (since its 1 gallon batches it's even out the same package!) and today I have a normal-looking, thick krausen on the extract batch.
So Im thinking it could be my mash temperatures, something to do with pH, or the grain I'm using (Crisp UK 2 row malted barley from small brew section in a cooking store, havent been able to get to brew store recently). The thin, watery krausen had only occurred of these 2 all-grain batches. Next test is to buy Briess 2row from homebrew store and try again with higher mash temps.