The Romans were not afraid of nudity. The public baths that this were next too would have been taken nude with other men.

Most people learn about Romans from the Christians as the story of Jesus is with the backdrop of Roman rule. However the Christians inherited their nudity views from the Jews. Thus in the biblical areas there would be less nudity because of the Jews, and then the biblical writers would have censored the nudity parts even more to keep it christian friendly. Thus our cultural attitudes around nudity despite coming from a Roman area have nothing to do with what Romans would have felt.