I hope you are talking about compression shorts/ tights. Aren't most of these made from sweat absorbing materials. Unless you have a stomach ache or are a leaker I wouldn't wear underwear. It like wearing a tank top or extra shirt underneath a dry fit shirt.
Don't wear any cuz I can see right through it, and when you sweat it looks even worse.
I saw this girl come out of yoga with the sweat running the crack in back and front! We were walking and my boy said look at her she got it in! Meaning a good workout. But she walked to her car and left