Your original message said that you wanted to remove underscores. Your example text displays underLINES and not underscores, which explains why nothing happens.
Try the following
Code:
Sub Delete_Underlines()
' 'Graham Mayor - http://www.gmayor.com - Last updated - 03 Oct 2018
'
' Delete_Underlines Macro
' Will delete all underlines in Document except in Mail addresses (& hyperlinks ??)
Dim oRng As Range
Dim oWord As Range
Set oRng = ActiveDocument.Range
With oRng.Find
.ClearFormatting
.Font.Underline = wdUnderlineSingle
.Replacement.ClearFormatting
Do While .Execute()
If oRng.Hyperlinks.Count = 0 Then
oRng.Font.Underline = wdUnderlineNone
oRng.Collapse 0
End If
Loop
End With
lbl_Exit:
Set oRng = Nothing
Set oWord = Nothing
Exit Sub
End Sub