If you are on the floor, level with your audience, they cannot (usually) see up your dress. There is absolutely nothing wrong, and indeed is sometimes necessary, to not wear underwear, or very very small underwear, as not to have VPL. (visible panty line) Up on a raised stage, with your audience below you, it becomes a different story. Some wonderful person wrote an essay about how to shoot dance shows, with lots of pictures.
Harald Heim Photography - Photographing Dance Shows
If you look at the picture of the three women in red, on the raised stage (great picture, btw) you can easily see what we are talking about. If the audience is 4 feet below them. Most of the rest of the photos are done on the same level and its totally a non-issue.
I have a friend that wears cheerleader's shorts under her costume. Across the butt, they say "NO PEEKING!!"