Skye, welcome to the Great Rabble.

I can't help you on what a young woman might wear to a formal event in the Highlands nor with the cairngorm, but I can comment on the sgian dubh. The knife is sheathed and then tucked into the hose. An open blade would cut the wearer or his hose, neither a desirable outcome. There is no "requirement" that one carry a sgian and a fair number of folks carry the "sgian bru," a bottle opener, and sometimes cork screw, with a decorative handle. Sgian brus are typically used sans sheath.

Hope this is helpful. The real experts will no doubt be along shortly.

Holcombe