I do not wear underwear underneathe my PI's, but I usually only wear them to the track or if I'm going 10+ miles. I have no "mess" to worry about, I have no clue what they are talking about. But I don't have to deal with any awkward changing situations or anything like that, so maybe that's just it... ?
Edit: I also use the chamois butt'r. That **** is ****ing awesome.