I suppose it depends, like many others have said too! My fursona is depicted with clothing, and that's mostly due to his more reserved nature. He's very calm, quiet, and polite, so dressing right and such is kind of natural for him.
However, if he weren't dressed, it wouldn't be an issue. Like, if someone walked in on him without clothes or a window suddenly opened (etc), chances are he'd be more surprised by the act, instead of the circumstance.
The whole 'fur' thing for most anthros seems to be the key, since clothing is the fur for humans. So it'd ultimately end up being up to each individual and/or their creator.