I, too, prefer using the underscore, because it makes the join "visible to the naked eye" in the text editor, and I've experienced the same problem with it not going invisible on the play screen. On a song I was working on tonight, I noticed that the underscore(s) stayed visible if there was no other word break (a space or a *) following it (or them) in a given line of text.
So, if I have a song typed as:
Okay,_I_want_everybody
to_clear_the_area right now!
Annie, are_you_o*kay?
So, Annie, are_you_okay?
Are_you_o*kay, Annie?
It will show on the play screen as:
Okay,_I_want_everybody
to clear the area right now!
Annie, are you okay?
So, Annie, are_you_okay?
Are you okay, Annie?