Hi Suzie – the positive takeaways from this experience is that you asked for feedback. But yes, some companies are conservative, even if the dress code for the office is smart casual, which can allow bare legs. The people working there already have jobs. I always suggest that candidates dress appropriately for the sector they wish to interview for. Each profession also has its own uniform and judgments are made on appearances.
However, unless you’re applying to be a life guard or another occupation where the dress code expectations would be different, always dress formally for interviews, which will includes tights or stockings. Even then, unless you are interviewing at the side of a pool or on the beach, in any office situation full business attire would always be advisable. You can always take them off when you leave the building. Recently one candidate I know, was advised not to come for a second interview wearing red (co-ordinating, expensive) ballet pumps. For some reason they would not have gone down well with the senior management and she was given the heads up and went on to get the position. There are also cultural differences, age and even religious factors which might come into play and you may not even be aware of those until you get to the interview. So caution is advisable.
My own feeling is that you might have to consider that there were other factors involved, but the interviewer chose not to disclose them. But can a factor as small as this play a key part? Yes, regrettably it can.