I don't have a k-x but no matter. I think you will find that many of us use Av mode. Here is a similar thread with a poll.
https://www.pentaxforums.com/forums/general-photography/22416-what-mode-do-you-use.html
Basically, Av mode - to me is my most used because it let's me select the f stop which will provide the best depth of field for the shot and hopefully keeping the most things in focus.
All of the modes - including scene modes (my k10 and k20 have none but my k100ds and Optio W80 do), should be learned and evaluated. They are their for good reasons and flexibility. For example Sv mode (Pentax unique) made no sense to me until last December when I was shooting Christmas lights in the dark. Being able to adjust my ISO and let the camera figure out all the other stuff was just the ticket because the widely varring intensity of lighting displays would have made me be resting ISO through the function menu all the time.
I've just completed several short workshops on action photography and flash. I've learned a new respect for the Tv mode and the TAv mode now.
Manual mode is a really great way to really learn you camera and have total control of it. I shot almost all last Fall in manual for a class and still use it for a lot of things.
My point is that if you spend some time to learn them you will find what works for you and in what situations they work best for you.
Your comment about trying Av mode is interesting. It's supposed to do that. When you shift the f stop the speed has to change but go back and look at your images when you do this. You should see variations in the depth of field - shallow at wide open and deep stopped down. That's what's happening in Av mode when you change the optics.
Scene modes:
These are handy and actually kind of fun but they are crutches. I believe that when you are very comfortable with your camera's normal modes (non scene) you wont really need them or want to use them. Although...if there is say a fireworks mode or museum mode those can be handy when you want to work quickly. The downside of scene modes is that the camera will make some assumptions that can surprise you if you don't understand how one mode is set up. I've played with them and found little use for them mostly. I will say that macro mode is one to use until you want to do more than what it may give you.