Another thought -- you mention your band kilt is a military kilt. Many military kilts have a 4" rise above the waist, while civilian kilts typically have a 2" rise. Both are worn at the natural waist, but perhaps the extra high rise of the military kilt is what is causing your discomfort?

Also, military kilts are typically of a much heavier weight wool than civilian kilts (regimental cloth today is typically 18 oz, but in the past has been as high as 22 or 24 oz, wheras 16 oz is considered "heavy weight" for a civilian kilt). Again, this might be a factor in how your band kilt feels when you wear it.