Gym etiquette

Today I've been in a gym in Brussels.

In the male locker room, every man that took a shower did it with his underwear on and then change it with a clean pair always using the towel to cover his private parts.

I am Italian and this is really strange for me, in Italy we all take the shower naked and we don't care bring naked in front of other men.

I don't want to break any rule, and I got the strong feeling that this behavior is at least a social rule, so I'd like to know if it is acceptable to take a shower naked in the male locker room or not and if it's acceptable to be naked while changing.