do girls in western countries wear underwear as party dress ?

That is absolutely NOT what most western women wear. In my lifetime in the west I've never been to a party where the women have come dressed in underwear. Who told you this nonsense?
A sense of modesty is cultural. It's not written in heaven, each culture has its own sense of what is right. In Papua New Guinea they are very modest, but in traditional setting women may not wear a top. This is not immoral, it is just normal. In other places to show the face is considered immoral. We shouldn't assume another culture is wrong. Just different.