As I understand it, all the dancing and athletic organizations actually do require underwear on their contestants.
I can verify that yes, underwear are required for ALL dancers, male or female, registered under the SOBHD. As most of the dancers these days are female and under the age of 18, you can bet your kilt, that each and everyone of them will be suitably attired.

I once saw an entry form for a reel team competition which stated that dress must conform to the SOBHD dress code (although it wasn't an SOBHD comp) with the exception made for serving members of the military.