Nudity can be used for a lot of things, like empowerment, sexuality, vulnerability, innocence, etc. It depends on how that character's form is presented. In the context of vulnerability, since when you are nude you are totally unprotected from the elements, also given how most societies see the nudity in a negative light it can also add a sense of shame or embarrassment. There is also the fact that with some people if they present their nude form to another person, they are showing that person everything, in a mental sense. There is nothing you can hide.
Showing a character nude in such a way can show them as a vulnerable person, or in a position of helplessness.
In my first nude scene my MC wakes up naked in a bathtub, with no recollection of what transpired after being given some drugs. Afterwards he walks around his friend's apartment looking for his clothes. The scene is showing with a more upbeat, humorous tone, but in a way it's supposed to be kind of uncomfortable. Neither the audience nor the character knows what happened before he woke up, and it's implied that something not so pleasant could have happened in this defenseless state. Now he's in this uncomfortable "walk of shame" situation where he has to scour this apartment full of drunk and drugged up people to find his clothes.
That isn't the best example of nudity being used to show vulnerability, it's there to an extent. The best examples, although they're a bit sexist, are horror movies where the female victim is forced to become undressed. While it's not usually full nudity, the partial nudity shows that she is unprotected and sometimes unhidden from what/who could be pursuing her.
I actually have stories I want to do where nudity is shown as empowering, but the one I'm working on now is about weak, vulnerable characters so the nudity falls in line with how they're presented. Other people who show nudity as a vulnerability might unconsciously fall in line with the social standards, seeing the nude form as something bad and unnatural rather than something natural or positive... or maybe it's just the type of story they're making, who knows. Anyways! Sorry about the tangent, it's an interesting subject so I went on a bit of a tangent.
Wow, you're the first person I've ever seen who went into Rocky Horror with the mindset that it was a comedy. I mean, it's labeled as horror/comedy, but no one ever refers to it as that. Everyone I've ever known sees it as a loud proclamation and celebration of problematic queer shit, which resonates with me as a problematic queer person.