As I read some time ago, no.
You could easy use underscores and dashes, that’s why WordPress automatically convert post/page title to slug with dashes.
Search engine just read URL without them, treating them as space.
I personally prefer dashes as they are more friendly to read by human.
Imagine that you sharing URL with friend or on website without label:
https://example.com/that-is-an-awesome-article-about-how-life
https://example.com/that_is_an_awesome_article_about_how_life
In some cases link could have text-decoration: underline
that make it unreadable AND underscores in my opinion takes more time to read as eye have to look little lower as you’re reading in middle of text and just know what’s the letter is. Also, in some cases underscores are poor visible and links are no highlighted, so when you copy them, you could think that is space or underscore. Em, I just prefer dashes ??