As a general rule, you should always respect the guidelines and instructions provided by a professional, including a masseuse. If the masseuse asks you to leave your pants on during a massage session, it is essential to follow their request.
There could be various reasons for their request, such as maintaining a professional boundary, adhering to the establishment's policies, or ensuring your comfort and modesty during the massage. Ignoring their instruction could be considered disrespectful and may lead to a termination of the massage session.
If you have concerns or discomfort about the request, it is best to communicate openly with the masseuse and discuss your feelings or any specific needs you may have. They will likely try to accommodate your preferences while still ensuring a safe and professional environment for both of you.