Why do many people play Candy Crush without ever buying anything while some spend all their money on it?
The economic concept of marginalism comes to mind. Actors will spend money to buy virtual goods if the marginal cost (price) is lower than the marginal (subjective) utility of the virtual good. If you have lots of money it's easier to spend $10 on extra lives. This explains some of it.

Most of the purchases are small, so the individual cost/utility analysis is biased, it's "just" $10. Over time it might become a problem.

It's a lot like any other kind of addiction, and I think (baseless speculation) that the "big whales" are more likely to be predisposed for addictions than the general population. The utility, positive affect generated by a feeling of progress and accomplishment, becomes harder to maintain and creates a "need" to keep playing. And when the individual transaction costs are so low it's that much harder to resist.

Edit: I've found some sources that might answer your question better.

This paper discusses how game designers might think about it. Not peer-reviewed.

From a different behavioural economics perspective.

Some other papers on the topic.

Note: Most of these discuss microtransactions and virtual goods. Candy crush is mostly lives, leading to different motivations than games like Team Fortress 2 with cosmetics like hats and skins (and keys).