Duxredux

Hum... I'm going off the top of my head, from what I remember in the books... 
Safe hand is pretty big, considering Kaladin's reaction to seeing one while helping in his father's surgery as a youth. Ialai Sadeas when trying to talk Dalinar into marrying Evi noted that the Riri go around half clothed, which may or may not be related to the bag they were having her wear on her safe hand while she was trying to eat at the negotiation banquet for the Plate. I think Shallan also makes note of necklines... The design of the Havah probably says a lot about what is considered modest.
From the Coppermind: 
https://coppermind.net/wiki/File:Vorin_Havah.jpg
Not that I've studied this at all, but to an extent what is considered culturally modest I suspect is what diverges from what is functional for the climate and region in addition to historical and often religious factors. The seafaring Thaylen merchants are more relaxed on Vorin codes likely for the need for every member on a sailing ship that is draining food and water to also crew the ship. The less modest gloves instead of extended sleeves is a practical solution, same with the men learning to read should the women fall ill or be incapacitated. 
Let's look at climate. For cold regions where covering up is practical, it may be a relatively small step to diverge from what is practical to attract attention and by extension be considered unmodest. Showing calves, knees, shoulders, midriffs, or more during a blizzard will be unusual and draw attention.
In contrast, in a tropical climate like the Reshi isles, fully encompassing clothing may be impractical. To reference Warbreaker, 
The Alethi seem to be more exposed to the Highstorms and border the Frostlands. Seems like a recipe for a windy and cold climate which may explain the enveloping Havah.

Oh cool, we got a WoB on this exact question. Thanks bubblebooy whoever you are.
Looks like it's a combination of the responses. In some ways it will reduce the benefits of drawing Nightblood but also mitigate some of the negative effects.