Krav Maga should be practiced in whatever you would be wearing normally. I have been in TKD for about 7 years and get ribbed about wearing a kilt to class, O.K. Mr. Peterson will lead the class today and demonstrate jumping kicks....I would not necessarily use TKD on the street in a self defense situation, in that sense I would not practice TKD in a kilt. My wife takes TKD and has practiced Krav Maga and Krav Maga she practiced in street clothes.
There is my 2 cents, hope that helps...