Because they want to wear a dress, for whatever reason? Maybe they have a cute one, maybe they don’t like regular shorts, many reasons.
Personally I find a dress and thin under-shorts (like the jockey skim shorts) to be much more breathable than “real” shorts and a top. Sometimes I do wear shorts and a top though. It’s nice to have options, and even not at Disney, I need something under my dresses to be comfortable. Others may feel differently, and they should wear whatever they prefer.