I agree with you here.

This is likely exactly what this young girl thought. That MissRose was showing her kindness when she noticed she was cold and offered her a wrap. She therefore may have learned a lesson in how to take notice of others in need and do what you can to help. She may have also learned to consider bringing a sweater next time.
I highly doubt though that she got any message, about modesty.
Personally, I have to ask though, which one of us hasn’t been caught underdressed for the temperature at some point in our lives? Who knows maybe she’d never been to an Easter Vigil before or didn’t realize she’d be outside. It was kind of MissRose to offer her a wrap to keep her warm, but I think sort of prideful if the action was meant to deliver some hidden lesson in modesty. Also, considering the fact she handed back the wrap upon entering the Church, where she would have been in front of the Blessed Sacrament, and other parishioners, I’m guessing that hidden message was lost.
My personal preference is that we don’t see bra straps or underclothes on people and I know that some hold to the ideas of…was it Pope Pius… that said a woman’s shirt should come to her elbows.
Now I’m certainly not saying that I hold to these exact standards, I’m just explaining where some get their standards from. I think a cap sleeve is nice, and not too deep of a neckline. I think it goes a little far when we see bare backs or spaghetti straps with bras showing, or strapless sundresses for Mass, but I also admit when shopping for Easter dresses this year for my own girls, it took a lot of work and expense(having to buy extra little shrugs etc.) to find ones that met all my standards and still looked fashionable to them. We did it, but it was certainly an exercise in persistence.
Anyways this was a long post to just say, I agree if the girl thought anything, it was probably that MissRose was kind to lend her her wrap and I would have hoped MissRose that it was your way of silently showing her that you took notice and cared that she was cold.