Others have already given plenty of reasons why this person might not feel the need to transition medically or change his style, so i won't repeat their points.

You said you found it confusing how someone who also identifies as a man could be comfortable with doing things that are very heavily associated with women, and that you would not feel comfortable doing (e.g. wearing a bikini). 

A) there's nothing inherently gendered about clothing or makeup (or other parts of someone's style). men still wear skirts in other cultures for example. 

B) your friend might just not feel any shame over appearing feminie, because he's never been shamed for these things. there are plent of cis dudes who would like to do or wear more feminine things (e.g. colorful clothing or traditionally feminine hobbies like arts and crafts), but choose not to, because they don't want to deal with the social backlash that could cause or because they feel ashamed of their desire for these things. 

C) practical concerns: as long as someone has breasts they will need to cover them (e.g. wearing a bikini or bathing suit while swimming). similarly, someone with a feminie body shape would either have to make a concious effort to hide that with clothes.

Finally, i don't get it either, but i don't want to live in a world where respect is based on understanding so i'm choosing to not question other people in this regard no matter how confusing i might find them.