I always look at this from a slightly different angle. I look at the unhappy millionaire and think that he must have problems that are a major burden on him. It doesn't matter what those problems are or what we as outsiders think of those problems; it's the fact that he's not able to overcome these problems that make him unhappy. The money is irrelevant, unless of course it is the source of his problems. On the other hand, I look at the happy poor guy and think that any problems he has are just not a burden on him. It's not that money doesn't really matter to him; it's that lack of money doesn't put a major burden on him.
I don't think we have a natural setting, I think we all treat difficulties in different ways and sometimes can't deal with the burden, no matter how good the other things in our life may be (including but not limited to having money).
People have a set happiness point. Probably genetically set, but that's beyond my pay grade. Whatever the external situation, they'll gravitate towards that natural setting.
It's a very weird thing to watch: the guy who has millions complaining everything sucks, the guy barely making it telling you how great life is, etc.
So yes, life is difficult. But it's difficult for everybody to some degree. It's not life -- it's the people living it.