It's not that Jimmy didn't want to dress more casually; the key was to cover the gun he was carrying. His choice of top was greatly limited, and the casual suit jacket was just right to conceal his holster.
Let's be honest: every time New York Fashion Week rolls around, Jimmy kind of wishes he could wash his eyes out. There are plenty of pretty girls on the streets, dressed very nicely, but you always get a few guys in weird and wacky outfits, and all sorts of performance art that really make people uncomfortable. Of course, there's a lot of fun to be had ogling the beauties while hanging out on the streets, and the number of homeless people hoping for some spare change also seems to increase accordingly.
Jimmy and Nia entered the show with their invitations and blended into the audience around the runway. The show was a success, and of course for Jimmy, it was mainly about watching the models. Sure, Nia by his side was pretty too, but who can control a man's eyes?