I genuinely don't understand the problem, can someone explain?
Normally you'd say something like "I'm so happy that we're dating". By saying "I'm so thankful that you're dating me" it implies that he doesn't deserve her and that she isn't getting as much out of their relationship as he is. It's similar to saying "I'm the luckiest man in the whole world" when talking about dating someone, but a bit more self-deprecating. She's mad that he doesn't see his own value, what he brings to their relationship, and that she loves him just as much as he loves her.
I think there might also be an element of her suspecting that he is only buying her so many gifts because he doesn't see his own value in their relationship and is trying to compensate for it.