This implies that it's a rule. I cannot imagine any school having such a policy Seriously... They actually make young teens take a PE class in their underwear just because they don't have a note? At worse, you just make up the class. That's just common sense. But this? Really? Maybe it's just the recent rash of sexual harassment stories happening but this sounds suspiciously similar to those stories.
Regardless, making a student with an obvious broken arm take PE in their underwear just because they didn't have a note is far and above abuse and it needs to be reported! That's just some messed up $^%$ there!
Positive thoughts