Just joined martial arts club. Club rules mandate wearing jockstrap for all club training sessions. Why? There are plenty more comfortable underwear with same purpose as jock.

I don't know of any man who would find wearing a jockstrap to be comfortable. I know that I don't. But, I would suggest going along with the rules of the club is you would like to be a member. I am sure that they have good reasons for making the rules that they do.