This would completely defeat one of the best parts of markdown, which is the ability to mix in HTML tags whenever you want, when you need to represent something more complex.
Underlines traditionally have semantically meant the same as italics. When an editor wanted the printer to make a certain word italic, he would underline it in the draft.
Really, underlines are a useless decoration. That's why HTML took them out. Not sure why they put them back in...