It is societal conditioning, as obviously there are human societies where nudity, or close to is unexceptional. In our society along also with the sexual aspect is the body perfect myth. I wonder how much of women not wanting to be nude in front of other women is due to our feeling that we're not living up to the ideal body shape. Clothes help mask those little imperfections to a large extent, but even reasonably slender women are unlikely to be completely happy with their shape and thus unwilling to expose themselves to criticism from other women (as another nasty aspect of society seems to train women to criticise each other).