Only undress as far as you’re comfortable. Really. Yes, I mean it. No, I really don’t have a preference.
Think about it. If you’re feeling a bit “exposed,” despite being covered by a sheet and blanket, you’re going to be holding tension in your muscles. You’ll especially be holding tension in your leg muscles as you attempt to make sure that as little as possible can be accidentally seen or felt. If you’re a woman, you’ll undoubtedly also be holding tension in your arm and chest muscles as you strive to keep your breasts fully covered. If one of your massage goals is to reduce pain and/or muscle tension you’ll be hard pressed to make much headway if you’re holding tension in the very muscles you’re asking us to release.
Not only that but you’ll be nervous, anxious, and/or fearful, which puts your stress response on red alert. No matter how relaxing the massage is, your constant alarm bells are going to keep you from feeling relaxed, or at least as relaxed as you could be if you’d left a bit more clothing on before getting on the massage table. Add to that the fact that when you’re nervous, anxious, or fearful you simply can’t enjoy anything as much as you otherwise would.
A competent massage therapist will be able to work with any level of dress or undress. This is your session and you’re paying a lot of money for it. All that money will be wasted if you’re not getting the full benefit because you’re “underdressed.”
To recap… when you’re tense because you took off more than you were comfortable with it makes our job harder, reduces your enjoyment, and reduces the benefit you’ll receive from the massage.