I have always worn my kilt without underwear. There is a very practical reason as it is almost impossible to answer a certain call of nature with having to pull down and hitch up underwear, whilst wearing a kilt. It's up to you but I have been told that, yes you should wear black in Highland dance competition as one dances on an elevated stage. The other time is in marching display pipe bands as their legs are brought to the square in slow march time.
As I said I never have worn anything below my kilt except for hose, flashes and shoes. If you want to feel safe why not try a black jockstrap first and get used to the feel of a bare bum. Then if you feel ready ...go for it... or without it!!!