SAs assess candidates in three major areas: academics, leadership, athletics. Playing the bagpipes seems to fit best under the second category, if you can demonstrate how it’s made you a better leader, i.e. helped you make a positive impact in your school or community. I don’t see it as being different from playing any other musical instrument. Many mids/cadets were accomplished musicians in high school, and doing so may have added to their leadership score.
I don’t think playing the bagpipes will hurt your candidacy, but it may not help either. SAs aren’t like many elite private schools, where checking off boxes purely for the sake of “diversity” is more of a driving force.