Medieval alien armor certainly makes a lot more sense than thin ballerina tights (that his "aura" somehow just "magically" protects from damage). Or a suit made from indestructible Kryptonian... blankets. Lol
Wearing your wacky alien battle-armour actually makes less sense than adopting an indigneous 'hero' costume, if your goal is acceptance in your adopted land.
The transformation of Superman from kid's comic book hero brought to life to po-faced alien fashionista is one which I would like to see reversed but can't see happening.