Until recently, there has been a convention in movies and TV that male actors should wear fly-less boxers (usually over briefs, to keep the genitals contained) instead of briefs if the character will be exposing his underwear. This is to hide any bulge in the crotch. However, re: the long underwear in this episode, briefs were not an option. So the leather covering was undoubtedly their rather unusual way to achieve the same purpose.