It is an option of comfort. Some people like to leave their underwear (panties/boxers/etc) on and others dont. In EITHER case you should be draped in those areas throughout the massage anyway.
A professional massage therapist will work with your comfort level, so never feel pressured to take off more than you want to. However, like someone else said, your clothes may get stained by lotions/oils and/or be slightly in the way when low back/hip work is being done.
In any event, the sex of the massage therapist should not matter in any event as they should both treat your sessions the same in terms of keeping you draped and keeping things ethical.
Again, as long as you are seeing someone truely qualified to do Massage Therapy, then they will know to keep your privates draped regardless of what you wear/dont wear.