Me neither honestly. It makes you think: would anthros be self conscious about their privates like we are?
That's a cultural thing. Not all humans are even self-conscious about that stuff. There's plenty of human tribes (mainly in South America for some reason) where nudity is just normal.
A lot of Europe is this way, specifically Scandinavia, Iceland, Finland, Germany, Spain, I think Greece and Hungary, as well. Not so much in Eastern Europe but its not necessarily banned in Russia (afaik).
You are right it is a cultural thing. We don't really know how humans would have evolved differently because we don't have any other path to compare to, but the transition from clothes being a nice thing for expression and to express cultural values to something you MUST have or it is shameful is not something that HAS to be evolved. It is within perfect thought to think that one could wear clothes and not have any sort of sexual or shameful mentality attached to not, much like how you or I could wear clothes that are not "in style" according to all those magazines but we are not kicked out of our worlds for it nor are we stared at weirdly. It is just a part of life.