I never wear underwear when I exercise, and havent for years. Its find.
I mostly wear yoga pants, or footless tights when I exercise, and theres no point in wearing underwear with them. In fact, most of the girls at the gym where i go where their yoga pants without underwear when exercising too now.
I think its become more of a trend lately for young women to go without underwear, because its just much more comfortable.
Uhm, well... I'd like to go out on a limb and say it is likely because of chafing from friction. It is likely going to be more painful than permanently 'harmful'.