This is quite an intimate and sensitive question, but it seems to me that it depends on your feelings. Indeed the leotard is mostly intended to be used without underwear, because historically leotards or rather to say bodysuits were invented as underwear, if I'm not mistaken. As a result, despite the fact that it's not quite underwear anymore, most girls still wear them without underwear, unfortunately there are also a large number of opponents of this as me.
Since bodysuits are not common among men,I don't know what to say to that, because I don't have an answer. it is difficult to say how it should be…
I believe that there is nothing to be ashamed of and everyone does what they want, since a large number of us do it, yes, surely men also can do it. Do what you like and don't face it