Using her ability to mimic clothing she is still actually naked. The 'clothes' are her body.
Wearing real clothes may take less effort and be warmer...
Completely agree with you there.
Take the functional purpose of clothing away, and you're left with A) cultural taboo, and B) fashion.
Either one of these would be a reason for her to either put some bloody clothes on, or do the mimicry thing. And the mimicry thing would be infinitely cheaper from the fashion POV. My wife would probably kill for such an ability.
Given her attitude, I can see Rebecca Romijn's Mystique having no shame, or being naked just to make others uncomfortable. I can't see Jennifer's Mystique being emotionally in that place.
The ability to stay shifted obviously requires concentration, because if she loses consciousness she reverts to blue and bare. But it hasn't ever seemed to be difficult for her, at least to my memory, without outside factors being an influence.
And the bodysuit does look pretty incredible. Wonder if they'll be able to keep it from bunching up on the inside of her joints.
They can fix all those scenes with computers after filming. Visual Effects are wonderful these days.