AverysMomma, it may be the area you are in. I have never heard anyone in my area aside from some old great grandma types say that sort of thing. And I'm in NC so not exactly a place where you wouldn't expect such sentiments, but I am in a more liberal hotspot. I've been hanging around little girls for the past 10+ yrs and this sort of talk just doesn't come up around here.
However, many folks do talk about not seeing underwear or remind kids (usually girls) that they can see their underwear. I do encourage my girls to wear shorts under their dresses if they're planning to do a lot of playing outside. If we're just going to the library or grocery store and the dress is not super short I'm fine with just undies, but if they're going to be doing the monkey bars or something I do encourage shorts.
Likewise if I had a little boy I would encourage him not to be showing his underwear, too. I would not be down with the baggy pants hanging down past his crotch look.
I don't really wanna see a grown-up's underwear, either, so I don't think it's vagina-shaming so much as teaching appropriate modesty and not just for girls. After some age I wouldn't let my hypothetical boy run around naked in public, either. I'm okay with public diaper changes and a naked toddler at the beach or park doesn't bother me, but at some point I would like some clothes on the kids and also at some point I would want the clothes to be more than just underwear. At age 3, eh, it wouldn't bother me. If I saw a 3 yr old running through the park in nothing but undies I'd probably think it was cute, but if it was a 10 yr old, not so much.
Kids develop their own sense of modesty, too, as they mature — some more than others. My dd2 (age 7) has been shutting the door to the bathroom at home and locking it for about 2 yrs now, but my 10 yr old still will leave it wide open! Neither one of them would want someone else to see their underwear now. It would be soooooooo embarrassing!
So, I guess, my advice is not to think about it as sexually shaming, but instead as instilling appropriate levels of modesty and in my house that doesn't include "keep your legs closed" at all, but instead "I can see your undies".