My wife's mother is a sweet, capable, gentle, kind, warm, intelligent woman and being complimented is utter torture for her. My wife tells me she was like this all through her childhood and growing up. She even has difficulty with someone thanking her for something: she's gracious, but if you know her well you can see the twinge of pain.
I wonder if it's a built-in personality thing, or if there's a back story to it. I don't think we'll ever know.
My wife's a bit like this, but not to the same degree.
My own parents (and myself for that matter, hopefully) are fine people, but not nearly as warm as she is -- if someone compliments or thanks us, it's no problem. It's just like "Hey, thanks/your welcome!" or whatever and life goes on. Maybe we just don't feel things as much?