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Some women wear underwear under tights and some do not. Tights are made to be worn without underwear, but many people do still wear them.
I don't know what you mean by "better to not wear tights". It's actually better to wear tights, it looks much more professional and clean. Another reason to wear tights is because if you are wearing pointe shoes that are just a bit too small and you are not wearing tights, you could get blisters around the back or your heel. If you are talking about modern dance, it is just a mandatory thing to not wear tights sometimes.
Most tights have a cotton crotch which replaces the need to wear underwear with tights. Most of the preschool age children in my studio wear panties, it does take some getting used to. We ask at recital, that no one wears them so there are no panty lines or showing panties while onstage with their costume.
In practices or rehearsals, for the same reason as female ballet dancers do. It is considered an "appropriate" form of dance wear, covers up, and it comfortable. In performances, it is often just how most costumes are done. Females tend to wear dresses or skirts, and men tend to wear simple tights and elaborate tops. That is just how the costumes have evolved, generally speaking.
A dance belt is an undergarment that boys and men wear for dance, especially under tights. It's designed to support and conceal your genitals, kind of like a jockstrap would be worn in sports. However, a dance belt is a thong, because straps or a full back would show through tights. It has a very wide waistband to keep it in place, and a very tight, supportive pouch, sometimes lined for comfort and to keep things from showing through tights.