This exists on every site I can think of. It is normal rendering of a link, and I don't think it is really worth it to attempt to change it, personally.
This is how it is with 'real writing' too. When you underline some text, such as in a chapter title, the line will pass through the descender (that's the correct terminology ) of letters such as g, just and y. The bottom of the letters (which doesn't include the descender) are supposed to sit on the line.
To change the way that underlining works in XenForo as the OP suggests would be wrong in every respect.