Re: covering the legs
Sheer nylon stockings were at one time an innovation, one which was intended to, and generally does, make women's legs look more attractive. Of course, today everything is different; but when I was a high schooler, a few of us girls had a laugh over the fact that a 40ish man teacher was giving one of the girls pointers on how to dress for going up on stage during assembly. He told her, "High heels -- and stockings, no socks!" I remember another girl classmate remarking, "Only slobs wear socks!" Because back then, many of us usually did wear them to high school. I also remember one of the old-time fashion designers stating that a woman's legs should be in sheer stockings for 'femininity', not bare.
It has always been my sense that opaque or thick hose are rather frumpy, compared to nylon. I think this was what Padre Pio was thinking.