All team kids wear leos all the time. Rec kids can wear whatever they want as long as it isn't dangerous.
That said, there has been times when my older daughter has had to wear leggings (not shorts, leggings). She has horrible eczema, though it is getting better with age, thankfully. Anyway, she sometimes gets bad breakouts on the backs of her legs and behind her knees. This isn't just dry/itchy skin, it's bleeding and requires a round of Olux and prednisone to treat. Leaving that kind of skin open is a one way ticket to infection, and really wouldn't be safe for her or anyone else. It has to stay covered.
Luckily, things have gotten much better as she's gotten older and (knock on wood) we have not had any bad breakouts like that this winter. I'm not sure what we would do if it happened during a meet. I guess if she couldn't use the leggings, we'd have to scratch her. and she could just go to cheer on her teammates. There's no way we could let it be open like that, even for a few hours... especially not in a gym situation. I hope we don't have to find out!