It is one of those things which will work in actual readers, but which validators don't like. Not a problem if for personal use, but publishers will use one or another of them.
Underlining is very old school, as there are other ways to emphasize by bolding, italicizing, increasing the font size, etc. About the only use I could see for it these days would be to try to create a form to be filled out. But there are even better ways to do that. The main use would be to copy an original that used them.
One of the issues is that underlining can be confused with links, so that hastened its way out the door.
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