Honestly this was one of the parts that made me super excited in the e3 press conference. Power armor is awesome now, its not just like anything else in thewastes.
Unless, of course, the stats of your under-armor actually stack with those of the power armor.
The new armor system has me worried that I may not see my favorite armor return to Fallout 4 (Riot armor).
Eh, from one point of view it doesn't bother me at all if you could step into the PA with whatever armor you happen to have on - after all, even if you switched to a vault suit/recon armor, the other armor you were wearing would still be in your Inventory, along with the other six sets of bulky armor, two miniguns, several longarms, and twelve cubic meters of assorted food/meds/ammo/etc. If it bugs you, you can hotkey (or Favorite, or whatever they use this time) your regular armor & vault suit so that you can insta-magic switch before getting into the PA - rather than taking several-to-many minutes to change clothes & remove full body armor that it would take IRL)
(i.e, the "reality" of the situation clashes a bit with the hyperspace arsenal / portable hole you have in your pocket. Just like you can carry six suits of platemail in TES, and it doesn't take you half an hour + the assistance of squires to put the stuff on. tl;dr - it's a game.)
The lore doth state that the T-45 required Recon Armor (not originally called that obviously) because of the moving parts and heat that came from the Armor, without that undersuit you would be destroyed within the suit by the suit...no mention of underarmor for the other Power Armor models however...