There's been some discussion recently on the Riot boards as to why
Evelynn dresses the way she does. The art devs view her current outfit as incoherent (why is she wearing pink bondage gear to fights?), some people have suggested the idea that she's an extreme sensualist. She wants the pain from her choice of clothes as much as she wants the pleasure of a kill.
I've always seen Evelynn as being like Emma Frost. She's utterly confident in herself. Her body is another weapon in her arsenal, and if you're distracted by her while she closes in to rip your throat out, so much the better.
Too, she's proud of being able to fight the way she does. I've never read "It's difficult to move like this in heels." as a complaint. It's always been a boast. Look at her basic attacks - she isn't just running through the jungle in absurdly high spike heels, she's kicking things to death with them.
Since she's associated with the Shadow Isles and an unhealthy blue color, I've also always interpreted her as being dead. She doesn't need to protect vital organs - she doesn't have those any more.
Normally, I'm all for female champions getting sensible armor. Lord knows they need it. But I don't think Evelynn's default should be sensible armor.