"I - on the road I usually just sleep in this." It's not comfortable, but it's safer. Even stopping in a friendly village - any place can turn on you, or be attacked at the worst moment. There are exceptions - like Sarenrae's other sanctuaries, or Metropolis, or Keystone - but they're rare enough that the usual instincts still carried instead.

Hells, he's slept in the full plate more than once.

"...Sleeves and pants would be appreciated."