I’m not sure there is only a “comfort” or “sensitivity” level involved here. I think some women choose women’s only gyms – as opposed to mixed gyms, or walking outside for exercise – because it is actually quite difficult to exercise in a snood and long skirt. One gets awfully hot, awfully quickly, with one’s head covered; the skirt gets caught in the bike pedals, or on the step. I would imagine that those who want to stay fully dressed have more options of where to exercise.
