Sounds like my SIL. They're not doing badly -- he is a unionized driver, she does some sort of mid-level marketing job -- but she is basically a professional shopper. I mean, if you want to know which carseat to buy, call her, because she's already done all the research (thanks, btw!). She is infamous for returning things over and over, because something else was a better deal, or it didn't fit just right, etc. She knows deals, coupons, rebates, everything cold. And yet the reality is that even if you buy five things and return four, you're still buying a thing that you didn't need. Although if you're the kind of person who needs to shop as a hobby, I guess maximizing your deals and returning almost everything is the most frugal way to go about it. :-)
Then again, this is the same SIL who bought a new @$35-40K SUV, and then literally yelled at me when we bought a @$22K one*, because she knows we make more than they do -- it was as if she thought we'd chosen a cheap one just to show them up.
I think people feel "frugal" because we tend to notice everything that Other People Like Us have that we don't, but don't notice everything that we have that Other People Like Us don't. So if your friends are vacationing to France, going to Florida feels pretty frugal; but at the same time, we don't notice the guy who decided to have the staycation this year because he's saving for XX, or the one who couldn't afford to take the time off (because those guys usually aren't bragging about it).
It's like we anchor to some expectation of the lifestyle our level of income is "supposed" to provide, and so any time we buy something less than that mental picture, it feels like self-deprivation, and so we tell ourselves we are being frugal. When in reality, it's usually our lifestyle expectations that are out of whack -- no, you can't make $120K in a HCOL area and have a $700K house and two $40K cars and spend weekends at the mall and travel to Disney and the Caribbean every year and do takeout all the time because you don't cook -- at least, you can't afford to do all of that and still save for retirement and for your kids' college and all those other things you also want. No matter how much you make, it's always an "or," not an "and." Acknowledging that, and choosing which "or" you prefer, is called being a mature, responsible adult, but it doesn't make you "frugal."
*DH's vehicle irretrievably broke a week after we signed our mortgage, he wanted new and big and bling, I didn't want to spend money. So we compromised on a fully-loaded version of a low-end vehicle, which -- surprise! -- did just as well as her higher-end model.