I don't really see the problem with Dashie not wearing more 'traditional' female garb for people of that area; for a start, this is MLP, not the real world. If you go back to the Magic Duel episode, the female representative of Saddle Arabia wasn't wearing clothing anything like what a female human of Saudi Arabia might wear if you transferred it over. I don't think Saddle Arabians have the same culture as the Saudi equivalent. Religion (thankfully to avoid a flame war) is never mentioned in the story, so it's not outside the realm of possibility that Saddle Arabia's religious persuations aren't the same as Islamic Saudi Arabia, and in any case, I don't think Dashie is religious anyway, so she's not really obligated to follow in those practices.
...But then again, I'm a Welsh, male athiest, and this is a show about magic talking horses. I can't really judge, all I now is this is pretty cute.