I think it is because, they are afraid that the same thing that happened to Dorthy in the "Wizard of Oz" could happen to them, and some wicked witch would come along trying to steal thier shoes. Ill bet they do have magical shoes on but they are invisable to us mere mortals. I mean really, how else could they transport themselfs to the bars to dance if they weren't wearing magical shoes?
The only other reason I could think of would that the Whispering Rose Radio host, being a shoe fiend herself, stole all of thier shoes. This is a possibility for sure! LOL