Hola Marcos

To me, personally, the use of the preposition sobre with pensar is very limited. In those examples in the lesson that you also mentioned I can see a "seeking for an opinion" type of question, so, these make sense to me, although I would have preferred to use "de", but this could be just a personal choice: 

 ¿Qué pensáis vosotros de/sobre este tema?  

 ¿Qué piensan ustedes de/sobre esta candidata? 

In this other sentence, you can use "sobre" despite not being an opinion but a reflection on a specific theme:

Nosotros pensamos sobre la situación política del país.

It sounds a bit unnatural to me (because it's using the verb in the simple present, but I understand why, the lesson is all about pensar in the present tense) - for me this would sound much better as: "Estamos pensando EN la situación política del país." 

I'm not sure about the specific nuance of sobre with pensar as opposed to the other prepositions. I tried to find sentences with pensar, but most of them come up with en and de as I said. If you look here for example you don't have any example using sobre. In the examples that RAE offers for the verb pensar, these don't use sobre at all - it's definitely a less preferred preposition with pensar.

Maybe when using sobre it's more of a deep thought, but I'm not sure. 

Sorry not to offer more clarification. It's one of those where it's very difficult to see the specific nuance, if any. 

Saludos