In another season, she might have walked out naked, but #metoo and momhood seemingly led her to cloak up.
It really doesn’t change the scene much if at all, and actually may make it a little more poignant than creepy, given Ser Davos stared at her the whole time.
When Melisandre finally took the necklace off of her neck for good in Season 8 – and spoilers – she walked out into the snow in a cloak, where her actual aged body turned to dust.