I lived in Saudi for a while. Anything at all that is usually considered fun is banned. Not a place to go breaking the law, especially if you're a foreigner. Saudi, as the homeland of Mecca (Islam's most holy place) sees itself as the guardian of the faith and is therefore much more conservative than most Islamic countries. The law there is not liberal and these women know that. Be cautious people when judging the laws of other countries. Whether the law makes sense to us and our western values or not, they are still the laws of a sovereign state and should be complied with. Reminds me of the chewing gum rule in Singapore. Seems harmless by our values to chew gum, but it is frowned upon in Singapore and the stuff is officially banned.