I agree that underwear around the house is a definite no and the au pair should be spoken to and made sure they understand it is not appropriate.
But also remember they are not a nanny and that this is their home and they are helping with your children - this is not a job.
Stop putting the onus on women to dress to meet a certain undefined standard because the men in your life are uncomfortable. Boys growing up in London are going to see a wide variety of ways to dress and need to get used to not being shocked by how someone chooses to present themselves.