Well, yeah some of them love to boast.

Wyll: as we established, he is talking out of his arse for most of the time.
Gale: he had some real juice when he was the favored of Mystra (maybe Chosen even). But then blew it and lost most of his stuff.
Shadowheart: She was brainwashed and memoryviped, probably multiple times, and never really brags about her skills.
Astarion: I mean yeah, he was basically a lapdog for a couple of centuries.
Laezel: She is basically a teenager according to the standards of her race and she loves to boast about her abilities, like some teenagers do.