I could be wrong, but I'm pretty sure they're not wearing thighhighs or any kind of legwear. You can pretty clearly see that sickly purplish blue color going all the way to Remilia's waist and fading into a regular human skintone. Same with Flandre, up to just below her hips. I wanna say that's meant to be lighting on their low halves, but it doesn't look great whatever the case.

Honestly, anatomy looks a bit off in general, Remilia's torso looks too long, and I'm not really sure how her left leg even attaches to her, it looks too far down and angled improperly.

Adding bad_anatomy since there's something not quite right about Remilia's lower torso.