I've just seen a LOT of movies from that time period, not to mention pored over pictures of my grandma and grandpa from then, and most women's dresses of the time period were shirtdresses, button-up and short-sleeved or long. Sometimes a little puffy, but not always. It's not a question of modesty, but of "where the skirt length is" so to speak, I think--they'd be up one year and down the next, just like they are today.

Here, for example, is a picture of Katharine Hepburn from that era, and really epitomizes that look: