Apparently, nothing is very clear. The attached sample mobi (generated using KindlePreviewer 2.5.1) works as expected on every emulated device that the Kindle Previewer includes with the exception of the Kindle Touch (everything is underlined).
It also works as expected on a Kindle 2 device.
It does NOT work as expected on a Kindle Keyboard with the latest firmware supporting KF8 (everything is underlined).
The only good thing I found from this experimenting is that these newer versions of kindlegen seem to honor the CSS "text-decoration" attribute when building the plain old MOBI side of things. So it seems <mbp:nu> isn't really needed (although it still seems to be honored). It's just that the different devices/firmware that support KF8 tend to render the same code differently (as well as differently than the official Previewer).