If you don't allow raw HTML, markdown doesn't support underline. I've run into this more than once with users.

To quote rule #10 of Butterick's Practical Typography[1][2]:

Never use un­der­lin­ing, un­less it’s a hyperlink.

[1] http://practicaltypography.com/summary-of-key-rules.html

[2] http://practicaltypography.com/underlining.html

Users want what they want. I'm using markdown for a question text within an Android questionnaire system, and my users are MDs who don't like to be told "no, underlining is a bad idea", so our markdown is littered with <u></u>

I guess that's a feature. Underlines on the web usually denominate a link, so offering underlines for non-links would just confuse readers needlessly.

(inb4 "But my use-case is different." Yes it is, but I'm talking about the web in general.)