I'll try and give you some different perspectives, you may or may not agree with these, but I will support them with some logic. Please remember these are MY opinions influenced by my preferences. Others will have different opinions and views.
First, why did he take your underwear away?
-Is it "controlling" behaviour? Only you can answer that, but if he's controlling in other areas of life then it may be part of a different problem. I ask this as you stated you were "scared" which always starts alarm bells.
-Is it through frustration? Has he made suggestions that you've either not taken as a genuine request or you've simply thought "My butt looks good in whatever" so it's not important - at least not to you.
Remember "Men are from Mars, Women are from Venus" - not literally by we are different. Women associate sexual desire with their emotional state. Men associate sexual desire with visual cues.
I enjoy seeing a girl in lacy lingerie - sexy sheer matching bra and briefs as a minimum - special occasions stockings and suspender/garter belt with heels. Weather she does a full strip tease or just undresses for bed I enjoy the visual stimulation - that works for a lot of men. I often have a giggle and a joke that if I catch her wearing underwear that doesn't match I'll put her over my knee. One lady didn't believe me until I did exactly that - although it was very playful. Other ladies have deliberately worn non-matching so they would get a spanking. These things can be used as cues to some fun and games.
I'm not a big fan of thongs, on some women they don't look particularly good (in my opinion) and a girl looks better in "boy shorts" or similar. I don't find plain underwear interesting or desirable to look at, equally some guys like a lady to wear 1940's style lingerie - I guess we all have preferences.
The fact that he has taken them may just be his way of making a point or being playful. You could always be rebellious and refuse to wear the thongs and go without knickers at all - just to make a point you are not wearing them. Why don't you meet him half way and agree to wear them when you wear skirts/dresses out for dates of an evening? But for comfort you can wear whatever you feel relaxed in.
Most girls want their partners to find them desirable and sexy, if you think that he should find you desirable in "whatever" then you probably in a comfortable relationship and because you feel secure you see no reason to change. Your boyfriend is probably trying to keep things fun and interesting and wants to maintain the spark and desire as that what stimulates him. I doubt he would leave you over wearing a thong but it may reveal that you think he sees the world the way you do. Being a man he probably doesn't and maybe you need to start to re-evaluate men as we are not the same as women.