I don't wear glasses much (only to read) and I feel that same groove. I also feel other grooves on my head, for example I can feel a groove over either temple going somewhat vertically for quite a distance - all the way to the top of my head, actually.
I think what you (and I) are feeling is a suture.
Between the plates or bones in our heads (separate in utero and infancy) are sutures which form slight depressions in our skulls which we can feel with our fingertips. Although they are similarly located on everyone, there is a degree of variation (on some skulls, for example, the squamous suture (between the pink parietal bone and the mauve temporal bone, the one I think we are feeling) is less curved posterior to the eye. I can clearly feel my lambdoid, coronal, and sagittal sutures (not shown) as well. So, I think this is what you're feeling and seeing.*
This is, I would guess, why the people you explain this to don't say much. That dent is pretty much there on everyone (note, I'm not saying a lifetime of tight glasses don't make their mark. I just don't think that dent is unique to people who wear glasses.
The question about headaches from tight glasses is therefore separate.
The problem with that question is that both headaches and refractive errors requiring glasses are very common conditions in the general population. People often associate glasses and headaches.
However, there isn't a very strong correlation between refractive errors and headaches.
Is this perhaps a psychological effect or my tight glasses be causing headaches?
I think it's safe to say that you might be projecting the cause of your headaches onto your glasses. The only way to tell for sure is to switch to contacts and see if this relieves your activity-associated headaches.
Headaches are very common and very often benign. However, if you're concerned, or perceive a change in the frequency or severity of your headaches, or they are associated with other symptoms, you should seek medical attention.