The sash’s proper name is a baldric. These are not inventions of Star Trek; rather, they have their origin in ancient Earth history, most notably as military dress for the Roman Empire. They are basically a belt worn over the shoulder, sometimes used to carry a weapon such as a sword. They were considered better than traditional belts, as they would distribute the item’s weight better than a belt worn around the waist. They allowed for quick access to the weapon when necessary. Today the baldric is still used, most notably by the Knights of Columbus, but also rather amusingly by Morris dancers. However, it normally fulfills a ceremonial role rather than practical.
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In the sci-fi world of Star Trek, Worf is not the only character to wear the baldric. Other Klingons wear it too, but it is also used by the Romulans to carry swords as part of their uniform. When designers for the Original Series and The Next Generation were coming up with costume ideas, they looked to real world history, and thought the baldrics were a great accessory to be used en masse by the Klingon empire. Interestingly, the baldric that Worf wears at the start of TNG, the gold one that looks more like fabric than his later versions, was the same prop used by the actors who played Kor and Kang in The Original Series. Worf had this baldric for the majority of the first season. Canonically he changed it to the more iconic silver plated version to denote his promotion to full lieutenant and security chief, but the change was actually be due to the original prop being stolen.
The baldric didn’t just show that Worf was Klingon. It was also an important celebration of Klingon heritage. While other baldrics might have been used to carry weapons, the Klingon ones were solely for honoring their family or house, something that was important to Worf. The baldric bears his family emblem, the symbol of the House of Mogh. This was changed later when he became a member of House Martok.
Still, the question remains as to why Worf was allowed to wear the baldric at all. Seemingly every other character is required to wear a strict uniform (ignoring the obvious attempt at sex appeal from the Betazoid Deanna Troi). Put simply, uniform exceptions come down to how good an officer an individual is, and how lenient their captain is. Worf might be the most recurring character to break with uniform regulation, but he was by no means the only one. Some of these, like Deanna Troi’s clothing choices were just ignored by their captains, or given an off-screen explanation. Others were explored as part of the narrative or character arc.
The wonderful Nog and Ensign Ro are great examples of the two ends of the spectrum. Nog was an exemplary engineer who never got into trouble wearing a traditional Ferengi head skirt. Ro, however, came to the iconic USS Enterprise with a reputation of bad behavior and little respect for the chain of command. Thus, when she boarded, Riker made a point of ordering her to remove her earring as it was not up to uniform code. Later on, when she proved herself as a team player and competent officer, she was allowed to wear it again. Another example is during the Voyager series, when Tuvok is trying to get the Maquis crew members to behave themselves. He reprimands Chell for wearing a pendant over his uniform, something he probably would have let slide if they weren’t causing so much trouble.
Worf falls into the category of an exceptional officer (despite being beaten up a lot). But in addition to this, Picard has a deep knowledge, understanding, and respect for Klingon culture. He likely understands the significance of the baldric for a Starfleet Klingon trying to retain their sense of Klingon culture.
It’s important to remember that not only is Worf the only Klingon in Starfleet at this time, but he also has a very complex history with Klingon culture, having been orphaned at a young age and raised by humans away from his own people. He didn’t have a bad upbringing, but he always felt out of place, desperately learning everything he could about his heritage. He overcompensates, and thus feels much more inclined to wear the baldric, when most other Klingons would not have felt the need. Picard likely knows this, and knows that the baldric and its house emblem are Worf’s only tangible link to his dead parents and his family’s honor. Either way, it is a wonderful way to set the character aside from the others, and give him a visual complexity that perfectly mirrors his inner turmoil and need to be seen as a Klingon — if the forehead ridges were not enough.
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