...I like the more simple approach.

She's a soldier. Her superiors have issued an order. End of story.

Since that seems a tad to simple...we can add that she's a soldier stationed within spitting distance of Riyadh, one of the most conservative locations in Saudi territory. And even the State Department suggests the wearing of an abaya in this area.

So...while the State Department may be a tad more lax in some of the more progressive areas (they >still< don't suggest slacks or a military uniform)...their policy mirrors that of the military in the location whare the military are stationed.