If they had clothes -- say they each had a tee shirt and a pair of shorts (underwear too? maybe not) -- and something sharp (the usual knife or machete), they could cut off strips (like excess tee shirt hem or around the shorts legs) and have another material for building shelter or making food traps. Oh wait, that doesn't hold up, they could just make it a rule that you can't use your clothing for building material.
But, being naked certainly would increase your feelings of vulnerability, whether you have modesty issues or not. You FEEL less protected. So maybe that's the point.
In all of the episodes all of the participants had no problem building shelters and food traps out of the materials lying around. It was starting fires and having a utensil to boil water that was the problem.