Underscores are only supported by DNS for RR records such as identifying where services are. They aren't for A records, which identify hosts.
Since the virtual SQL Server is tied to its DNS name, you have to use a name that's acceptable under the DNS rules. If you use a dash instead of an underscore, you'll be okay. BTW, this is true of anything related to DNS, to include Active Directory.
K. Brian Kelley
http://www.truthsolutions.com/
Author: Start to Finish Guide to SQL Server Performance Monitoring
http://www.netimpress.com/shop/product.asp?ProductID=NI-SQL1
K. Brian Kelley
@kbriankelley