I did a Search and noted that question about Underlining with Baseline Shift goes back as far as 2007 (hence the 'ReVisited' in the title)

So, other than manually adding a line under a word with a Baseline Shift, to simulate a underline, there is no 'Work Around' in Designer Pro to get 'Underline' to Follow a Baseline Shift? And, it's not a Bug... (I won't post the Illustration as there is one in the 2007 thread)