Nietzsche has the following observations about people with vanity:
Clashing vanities. Two people with equally great vanity retain a bad impression of one another after they meet, because each one was so busy with the impression he wanted to elicit in the other that the other made no impression on him; finally both notice that their efforts have failed and blame the other for it. (Human, All Too Human, section six, 338)
These observations seem right, but only roughly. A person who is trying hard to impress others will probably not be able to pay attention to things other than whether he succeeds in his attempt, and hence not be able to be impressed by others. But this is true of everyone, not just vain people. Nietzsche seems to be suggesting that people with vanity are more likely to try hard to impress others than people without vanity (are there such people?), for otherwise the phrase "with equally great vanity" could be deleted and he would still be making the same point.
Let's say Nietzsche is right, that is, that a vain person likes to impress others. However, it is reasonable to think that a vain person would not try to impress just anyone. Being vain, he would try to impress people who have impressed him in the first place, for it is impressing such people that would satisfy his vanity as far as impressing people is concerned.
Now suppose that two people with equally great vanity met, and that they tried to impress each other because each of them had been impressed by the other in some way. If they both failed in their attempt to (further) impress the other for the reason mentioned above, it is not clear they would blame the other for the failure. Indeed, the more they had been impressed by the other, the less likely they would blame the other for the failure. The psychology is fairly simple: the more they had been impressed by the other, the more they would understand why they failed to impress the other --- a person so impressive would not be easy to impress. In that case, their failure to impress does not hurt. And for people with vanity, if it doesn't hurt, it doesn't matter.