I was in Mexico last week near Cancun and observed exactly that. I always saw the locals with jeans and a nice shirt. There's no way I could do that in 85F weather.
Oftentimes when you buy local cloth you find out that they are comfortable for the weather. Long light jeans looking pants can protect you from sun and it is not more hot in them then in shorts. I have jeans for winter and jeans for summer and while they look very similar, their warmth is much different.
Yup yup I learned this in Australia. Bloody hot but I found keeping the sun off your skin actually kept me cooler despite wearing more layers. That and the added benefit of reduced UV or whatever else smashes you in the sunshine (I love the outdoors but tend to burn quickly in direct sunlight).
On more recent trips I've been trying to adopt more local customs including not wearing shorts. It's actually not that bad - if you choose lighter fabrics and don't lay around in the sun on the beach you may not mind pants. Added benefit of sun protection too.
Then there are locals who wear heavy black-cotton pants and poly-blend long-sleeve button-up shirts while walking around the asphalt streets on hot-humid days. They make me want to pass out :)
I think most of ^^ are actually corporate dress-codes (plus perhaps lack of resources to buy non-work clothes) but I've not had reason to strike up a conversation about that.
I think you are exactly right, that are really adaptations the we make both learn and make over time in different climates.
I lived in central Africa for four years after growing up in New England. Adjusting to the climate was partly just a matter of time there, but also learning the unwritten rules. For example, if I met a friend on the street, we would not even think of starting to chat in direct sunlight, we would always look for some shade first. I also learned to walk much more slowly and really minimize the heat that my body was generating.
Vice versa, I have now lived in Vermont for twenty years and every year I am amazed how I start looking in my closet for a jacket the first evening that it hits 40 degrees, and yet the same temperature in February means my kids are wearing shorts and t-shirts to school that day and I am grilling steaks in flip-flops.
