I actually have two Frankies -- a Pale Sage and a Khaki. The Pale Sage was my first MJ that I ever got (Summer 2003) -- the leather is supposed to be distressed. It has folds & wrinkles, creases and scuff-like marks. It's supposed to look like that. I do notice that the khaki one (which is now in my daughter's possession) is a little drier than the Sage one, altho I do agree, this leather does seem a little dry. It is nothing like the Soft Calf leather.
I keep my bags moisturized either with Apple or Cadillac lotions -- this usually does the trick. If the bag is really dry (like the khaki has gotten) it might take 2 or 3 applications to soften it up and bring its shine bag. But don't worry too much -- it is a distressed leather bag & is supposed to look worn. I often wondered why MJ never did any more bags with this kind of leather -- I really like it a lot! It ages beautifully!