One reason TO wear underwear is around small children.

They are VERY curious (and "rambuncious) and are liable to "uncover" things while doing something else.. It is also easier to "flash" when playing with them (and forgetting to watch the kilt angles).
Additionally, some parents have issues GETTING kids to WEAR THEIR underwear. In such cases, an adult revealed NOT to be wearing underwear (esp. THEIR parent) works counter to parental efforts.

ALSO, in high/steep stands, it MIGHT we wiser TO wear SOMETHING. OR, when one will be in any elevated situation (or working UNDER a car IN PUBLIC).