Yes and no -- some did, some didn't. The inventories of Oliver Miller, a colonial storekeeper living on the frontier in western Pennsylvania, show luxury items like silk, printed fabric, and china, along with utilitarian objects like checked linen and woolens.

Moreover, there seems to have been a general attitude among colonial settlers that the natives were 'savages', and an effort to live better than, and differentiate oneself from, the natives.  While some settlers moved to the frontier to get away from civilization, most moved there to get land more cheaply and to thereby (hopefully) become more prosperous than they could if they stayed in more settled areas.  Land speculation was the national pastime.  And they didn't shed their European-style clothing immediately upon arriving in their new territory.  

Yes, there is documentation for people wearing moccasins on the frontier; and some of the Scots-Irish settlers astonished traveling preachers with their backwards ways (many of which they brought with them from Scotland or Ireland).  But insisting that EVERY reenactor doing a frontier impression HAS to be primitive is inaccurate.  There is room for both impressions.

 I once went to an 1812 frontier event where I put together what I thought, based on my research, was an accurate impression -- plain cotton work gown, basic low-heeled black work shoes -- and was told by one of the other women there that I was overdressed.  She was wearing moccasins, cotton petticoat, and shortgown.  Both wardrobes could be documented for the frontier; her attitude, on the other hand, was completely out of line.