This is not a joke by the way.

Was anyone else bothered by the fact the imperial legion did not have pants? I mean, Skyrim is pretty cold...

Imperial legion do not belive in pants, they banned it in white gold concordad

The only pants are Ragged Trousers.
Even then, those are mostly found on Werewolves

By pants do you mean trousers/britches or underwear ? I cant say that I have noticed ether a dearth or a pleather of underwear.