I have never advised a player to remove "compression shorts"...if they want to play...
I have, however, advised a player that they must remove their "tights"(long garment all the way to the ankle)...if they want to play.
(If a player really wants that look...why not just wear socks that go above the shorts?)
Something to ponder: For those of you that think Compression shorts are not undergarments...would you wear Compression shorts, by themselves, without "outerwear"?
...come to think of it...I actually have...back in the day. i.e. bicycle looking shorts...speedos... whew!