Highland dress was proscribed in 1747 in the aftermath of the failed Jacobite rebellion. Although the law wasn't officially repealed until 1782, it had evidently fallen into desuetude well before that. In any case, Burns died in 1796, so for most of his adult life it would have been perfectly legal for him to wear a kilt (in the form it was then known) had he wished. He was a Lowlander, though, so would have been very unlikely to have done so except, perhaps, at a fancy dress party. The kilt and so on were only re-invented as 'national' costume later on.