Well I'm just a civilian, but still I like to "dress the part" when I'm hired to perform at any sort of function, and when I've been hired to pipe at military functions (weddings/balls/etc) where the men are in Dress uniform wearing swords, I tend to do the same. Is it "correct"? I don't know.

BTW a dirk belt isn't necessary when wearing a dirk, and there is military precedent: in the Highland Battalions, officers would wear Blue Patrol Dress, and at times would wear a dirk. This dirk was worn without belt, the dirk hanger going through a slot in the side of the Blue Patrol tunic and suspended from within.

On many occasions (many years ago, not recently) I have worn a dirk while piping at formal events while wearing a Prince Charlie, and I hung the dirk either from the belt of the Belted Plaid (often known by the misnomer "drummers' plaid") or from the strap on the kilt itself. Not "proper" I am sure, but it allows the dirk to more or less appear from under the waistcoat making a dirk belt unnecessary.