Was Jill Hennessy's character frigid?

I don't think she was frigid. I think they were mismatched in their value systems. They were probably attracted to each other physically in the beginning, but he wanted to be rich with all the status and she would have been fine to stay in Queens. He probably started making unilateral decisions long ago and she felt continually discounted, so she either got bossy or withdrew, alternately. Instead of resolving it, he went with other women. Divorce happened at that time, but it was still rather new, and it's just difficult to decide to end a marriage. Besides, she was still a practicing Catholic, so it took longer to make the decision to make the break.