Now, IMHO, Air Marshals would be more effective in First Class, as they have more room to maneuver and are closer to the cockpit. Thus, if the Air Marshal's job requires him to be dressed to sit in the First Class Area, the dress code that applies to all "non-revenue" generating passengers should appl to him.
Naturally, if you paid to sit in First Class, you can dress in any fashion you wish. However, it is always thought to be crass to wear a sweatshirt in First Class.
You fly how often and whose crass are you talking about? The first class passengers I've seen as I pass by on the way to the back have no dress code and most certainly sweatshirts are evident.
As a non-rev I was never bumped up and still had to dress up to travel by the airline rules. Sad part is that I still dress that way even when I buy a ticket - it was how I was raised.
I ask in all seriousness - whose ego are we stroking by making the Air Marshalls stick out like sore thumbs?