Specifically, I'm referring to the ones you could find in Austrian or German palaces.
The convention is ancient.
I don't know, of course, which statues you've seen, but I would guess that most depict the Aphrodite / Venus, the only goddess customarily shown (semi-) nude. The neoclassical sculptures scattered around eighteenth-century palaces were typically modeled on famous ancient examples. In the case of Aphrodite / Venus, this meant looking back to Roman statues of the love goddess - and through them, to the famous Aphrodite of Knidos.
The Aphrodite of Knidos was the first, and most famous, full-size (semi-) nude statue of a goddess. Created in the fourth century by the great artist Praxiteles, it showed Aphrodite emerging from her bath. This Roman reproduction gives a good idea of the (lost) masterpiece's appearance. Praxiteles' goddess discretely covered her genitals with one hand. A description attributed to the second-century satirist Lucian notes this detail:
"In the midst [of the temple] sits the goddess -- she's a most beautiful statue of Parian marble -- arrogantly smiling a little as a grin parts her lips. Draped by no garment, all her beauty is uncovered and revealed, except in so far as she unobtrusively uses one hand to hide her private parts." (Amores 13)
The Aphrodite of Knidos was an immediate sensation, and became a model for dozens, and eventually hundreds, of imitations. These varied considerably in detail - compare the Capitoline Venus with the Venus de Milo - but all concealed, or at least screened, the goddess' genitals. There were some statues that did show the genitals, like this torso of a Venus in a transparent gown. These, however, were always less common their semi-nude counterparts.
During the Renaissance, as Roman statues of Venus came to light (and were restored and sold to discriminating customers throughout Europe), the convention of showing the goddess of love with exposed breasts and concealed genitals again became standard. If you happened to visit the cast museum (Museum für Abgüsse Klassischer Bildwerke) in Munich during your travels, you may have seen this remarkable collection of topless-but-typically-not-quite-nude Venuses - the sort of models after which the statues in so many German palaces were made.
I go into more detail about nudity in Classical art in this video.