Personaly i dont really need option to pick underwear for my characters ...
Sounds like lots of work for something we would barely ever even see.
Would be nice to pick that my character have none tho ... i mean, we know there will be nude models, dont we?
That sounds like cheap alternative to me.

In the ideal situation, you'd be able to pick starting equipment and under that, a selection for picking casual clothes, and then beneath that, or within that menu if it was designed that way - subtle and ignorable if you wish it to be but present, the option to select an undergarment preference from all the variants they've already made for the game... and sure, 'none' would be one option amongst that. Ideally, your camp wear and undergarments could be something you could bring up the character screen for and change during the game as well, in some fashion.