I think that new parents want to dress their children in things they like, not necessarily to others' tastes. I agree that either she or your son should have thanked you (the baby has two parents), but there's no guarantee that she would use outfits she doesn't like, particularly in a different climate.
They probably got lots of outfits for the baby - people usually do - either passed down from friends and family or bought as presents. As the baby grows you might find it works better to ask what they would like, and it may be easier to do that through your son. Mr Dog and I have always 'dealt with' our respective sides of the family when it comes to presents - both the choosing/buying/ wrapping side of things and the thank yous for things that were joint or for the children. Maybe they are doing the same?
I understand your disappointment at not having them nearby, and as regards the baby gym, I agree that you should buy it if it is within budget, but say no if it isn't. I will say that we were given one when my eldest was a baby, and both children used it more than any other baby toy, so if you do buy one there is a good chance that it will be a favourite, too. If it's out of budget, there's no reason why you should feel pressured into buying one, but maybe check what the new parents would like for Christmas before using your budget on things that may not be suitable?