I have actually done this research. So regardless of if you NEED one with your kilt the sort answer is no they are generally not allowed.
Years ago when I was on a Carnival cruise (non kilted) they were confiscating plastic miniature swords that parents were buying as part of pirate kits for their children while in port. They we using the excuse that it looked like a knife so it was a knife. The group I was with were looking for squirt guns for a showing of Rocky Horror and had to settle on some that looked like frogs to avoid the look alike interpretation.
I post over at a cruise related forum and this comes up periodically. I had one poster claim that they found an actual reference to sgian dubhs in the cruise contract but after reading in detail the document they linked to there was only the mention of knives in a generic sense. That being said, knives were prohibited, and sgian dubhs are knives, so the prohibition stands at least on Royal Caribbean and all their related lines.
There was some discussion of contacting the cruise line and asking if such a blade could be stored by the purser or ships security until worn on formal night. The consensus was that even if granted there was no promise that such grant would be accurately relayed to the ship's staff. The general rule on weapons confiscation was that they do not return them at the end of the cruise. I for one would hate to loose even the cheapest of mine. I bought a sgian bru from USA Kilts for my cruise, and to tell the truth I like it better than some of my blades.
Can't imagine why it would be an issue, their party their rules! Wearing a sgain bru may cause you grief as well, some companies are overly cautiousness and may take anything that may even be construed as a sgain or knife. Leave it ashore it will be precious little help if boarded by pirates anyway...
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