Consider the history behind going "regimental." To the 18th century man - Highlanders included - your shirt WAS your underwear, whether wearing knee breeches, trousers, or a kilt. The long shirt-tails of the time reached to the knee, and were tucked up and often pinned between the legs to form a sort of under-drawers. Some shirt-tails of the period even featured buttons for this purpose.
So, even when going "regimental", the historic Highlander was separated from his kilt by long linen shirt-tails. It wasn't a conscious decision to "not wear underwear." He was in fact wearing the exact same underwear as everyone else: a long shirt...!