If the sport requires you to shave your legs I'm going to find another sport.
Triathletes are not "required" nor does the sport "require" shaved legs. Prior to the swimming portion of a triathlon when the water promises to be not much above 55 degrees, which is quite common for those taking place in lakes, a healthy coating of a Vasoline-like substance on the exposed areas of the body help keep the cold water from penetrating the skin, thereby freezing your nuts off.
An unfortunate circumstance of any form of bicycle racing is a crash. I've been involved in 2 serious crashes, one at over 35 mph, and in both cases, the lack of any hair at the site of the open wounds make them much easier to treat. Road rash on the thighs and calfs are bad enough, having hair get matted up in the blood and tissue is just nasty.