No, you definitely have to buy separate compression skorts. They do come with those useless shelf bras.
Any bike short will work, so if you have one already you're good to go. The biggest challenge is finding one that doesn't ride up. I bought an Under Armour pair once and it felt like I was wearing an oversize thong. Yeouch.
And no, it doesn't look good with the bumps on the thigh, but I am hoping my startling natural beauty will distract my many admirers.
Seriously, I had always avoided dresses in part because of cost. Any dress with "Sharapova" in the name is over $100, and TW is selling one dress for a whopping $134. Well, most of the dresses I am trying run $50-$70. Since a skort can easily be $50, dresses are reasonably economical.