Because that was the minhag hamakom, Joseph. It’s not the minhag hamakom in almost every place where Jews live. In fact, in most places it is not tznius because it draws attention (unlike an actual tznius requirement- i.e. long skirts- that may draw attention, covering one’s face is not an actual tznius requirement where we live. Attracting attention through something that is not an actual tznius requirement it assur and not tznius).
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