Modesty is seen to be one of the more proactive of the Virtues. It is seen in several chapters actively attacking the Sins and Hosts.
Also, unlike the other Virtues, Modesty's appearance and sex are unknown. Throughout most of Venials and Original, it is seen with a paper bag over its head, and a long white robe covering the remainder of it's body. Near the end of Venials, the bag is (accidentally) removed by Sloth, only to reveal that Modesty is wearing a helmet with neck covering underneath it.
Modesty is obsessed with preventing anyone from finding out anything about what it actually looks like under all of this, even going so far as to threaten Fluffy with a sword. It even posed the question "What makes you think I'm even humanoid?" This is not solely due to its Virtue marking, as even after the Virtues have lost their markings in Revenant, Modesty does not remove any of its coverings, and even goes to the trouble of hiring another demon to pose as it in case the other Virtues try to forcibly remove its mask.
(The decoy demon - a brown-haired and purple-lipped female demon with a small scar on her upper lip - appears to be very sensitive about the scar, claiming to think that she is hideous and screaming at the Virtues who have unmasked her to give her back her helmet and leave her alone. Sharing, Content and Joy are filled with guilt at their actions, and do not try to unmask Modesty again. This does backfire slightly, in that the real Modesty now has to listen to lots of "positive reinforcement" from them, along the lines of "You can wear that mask, Modesty! You're beautiful in it!" - which it clearly finds very annoying.)
Modesty does manage to replace the paper bag during Revenant, but does not always wear it.