@Polywog psst don't tell anyone but my even-more-secret theory is that they're not flagging their personal preferences at all, but just wearing bandanas because the bandanas move nicely when they dance.
And the colours are whatever goes best with their outfits.
And the fact that they're way more likely to wear bandanas on the left hip instead of the right is that they're mostly right-handed. So a bandana on the left would be less likely to get in the way of their dominant hand.
And #LeeKnow is ambidextrous, meaning he doesn't have a dominant hand, so it makes sense that he'd be the only one to wear a bandana in the middle sometimes.
But I know my even-more-secret theory is outrageous, please forgive me