Well, once you get past "because my mother makes me", I expect most people wear underwear to avoid direct contact between their skin and their outer garments. This may be to avoid getting an expensive garment dirty or to avoid having a scratchy garment irritate you- and now and then, to avoid giving people a "free shot". It seems to me that any of these reasons might be applied to kilt wearing, at different times or maybe all at once.

Like somebody above, I do figure it is a good idea to select your kilt underwear with the assumption that it will be seen. That way, the kilt checkers get something for their troubles. If you are out on the town, then your wee prizewinner may be what you want them to see. If you are working or going to church, you might consider that it is certainly possible to fall down and land the wrong way. And the point about the wind is well taken. More and more often, I find myself going for a pair of tartan boxers in a contrasting sett, probably because I don't have any of the SpongeBob ones and I lost that pair of grippies with the woman's hand printed on the front.

By the way, I am always naked under my clothes.