So frustrating that both Markdown and this don't support underlines.
If you want to use an underline for emphasis instead of cursive, this is more of a style concern than anything else, so the appropriate place to change this would be in the stylesheet, which is perfectly possible.
If you specifically want it to output the <u> html tag, I agree that this is not as convenient.
I'm going to have to disagree with you. Long before Markdown came along, the convention was to use asterisks for * bold *, slashes for /italics/ and underscores for _underlined_ text. And that's just for starters.
Those three examples perfectly convey the intended effect, quite unlike the Markdown versions where asterisks will somehow imply italics, but only if they're single asterisks? It's a strange thing!
Historically underlined content == actionable hyperlink; for content that is intended for public consumption (ie. not a note that you're writing for your own use) there are usability issues with typographic styles that represent emphasis with an underline.