Going by wikipedia, the advantage they have is that the thighhighs do not have to have a built in elastic band or similar component to keep them up. Apparently there isn't a standard for thigh sizes and so there are inconsistent sizes which can result in having them too small (too loose) or too large (too tight) and can become uncomfortable to wear (as well as cut circulation), where those that use a garter belt to stay up avoid that issue (assuming you're not using "stay-up" thighhighs with the garter belt, then the garter belt is nothing more than decoration).
A garter, as in an independent band used to hold up thighhighs, can run into the same issues as "stay-up" thighhighs with the built in elastic bands (according to wikipedia).
To explain this, pay attention to the curves of Tsubaki's figure. Belts work great because the hips get wider as they go down. On thighs, even slender ones, they're in the reverse and get a little thinner instead as they go down. So even well-fitting elastic thigh-highs won't entirely be as secure as a belt, and ones that don't fit - which as mentioned, are highly common because thigh sizes and shapes do vary a lot - have it even worse. Thus, garter belts are still pretty useful even with the invention of elastic.
As added trivia, garters are handier than full pantyhose because you don't need to take them off the use the restroom. Of course, this means that in opposition to this picture, the more proper way to wear them is with the panties over the garters so you can remove them more easily.
And who doesn't love panties being easier to remove?
So Mai's awkwardness to the other female cast isn't just because of shyness.
Through out the manga, Mai herself and other characters mention several times that Mai was a man that got genderbent. You don't even need to refer to other official tie-in materials.
Ah...Could it be that your health hasn't improved yet?Are you alright, Mai-chan?What's wrong? Hurry and undress.