Typesetters, like editors, are trained to see proofreaders' marks, and underlining is a proofreaders' mark.
And if you submit and have to edit a paper manuscript during the publishing process, you will, unless you underline, usually have both in a finsihed manuscript, simply because the editor may want something in italics that you missed, or you may want something in italics that you missed or add, and the only way the editor can italicize something is by underlining it with his trusty red pencil.