I would do it. It is their country, and they have it posted. I know in Oman, the scarves were quite important, and Silversea did not let women on the bus if even 1/4 inch of ankle was showing. One woman had on an abaya, head to toe and was sent back for socks. All over Arabia, certainly men wore slacks except Dubai. In Dubai, people wear what they want, including bathing suits at resorts and all sorts of things, even Speedos, which we thought stuck out like sore thumbs there.

I would certainly wear the appropriate dress in Saudi. Not only will you need the described for women, but do not show any ankle or wrist at all. This is important and will also be important when you go on the Fujairah/Sharjah excursion. They did loan the abayas there.