But we associate and measure intelligence (think g) with respect, broadly speaking, to abstract problem solving; it is mathematical ability, logical thinking, shape rotation, vocabulary, working memory. In fact, for people who are "smart," but not in the sense we normally associate with that term (e.g., typically not good at math), we use "street smarts." Picasso, who was an artistic genius, is not defined as "intelligent," and we don't say, "Picasso was an artist, why wasn't he happy (assuming he wasn't)?
The idea is that happiness and cognitive ability live in the same space, but why should that be true? All of us have seen many people with low IQs happy, cheerful, satisfied. We might think it's because they don't understand much, and we'd be approaching an important insight.
Why are we surprised that smart people are not as happy as we think they should be (which is not true, as far as the literature tells us), but not that smart people are not more physically fit (if you are so smart, you can't lift weights three times a week on a rational program, can't you use your brain to eat moderately and be satisfied with 2k calories instead of 5k), and not that smart people don't get laid as much as we think they should, since that should be a positively selected trait?