It is not written anywhere or proven medically that sleeping without underpants is beneficial to health nor does it say that it is harmful.  It completely depends on your own comfort. There is nothing wrong or abnormal in it. Sometimes bacterial infection or fungal infection may occur near your private parts because of sweat or not keeping proper hygiene. In that case, doctors may suggest use anti-bacterial creams/medicines and sleeping without wearing underpants. In that case it is necessary to sleep without wearing underpants. But if your health is fine but you still feel like sleeping without wearing underpants then please go ahead.