I'm sure this will not matter to op, but for sake of anyone like me who hits on this page in the future here is one update. I thought I had this problem for a long time, never found solution. Tried replacing underscore with different or fake underlines from various character sets, but nothing worked. Underscores were replaced by spaces in all of my data grids, and sometimes but not always in column headers. Usually (maybe always) this problem did NOT appear when developing in Visual Studio...it only happened after the report was deployed to a prod SSRS server. From my experience with SSAS I know full well that MS is not beyond doing something awful like this and saying it is by design, so I eventually gave up.

Last week I thought I noticed lowercase G descender was being clipped off in one of my reports, so I increased the height of data grid text box. Next time I ran report in production, the underscores showed up!

If you think you have this problem, try increasing text box's height.