I wear skirts and dresses pretty often.. never wear shorts underneath. I don't really pay attention to what kind of underwear i have on.. i mostly wear thongs/cheeky and they're fine. Unless youre wearing a dress thats gonna blow up at the slightest gust of wind, it really isn't that "scary" to wear skirts/dresses without shorts. That being said, you do have to be a little mindful of how you sit/get up and make sure you don't wear stuff that is "too short" on your body!
Also, there are something called "dress weights", if youre wearing like a mini wrap skirt/dress, you can stick them at the bottom of the skirt/dress and helps weight it down.