Of well known note, switching back and forth between Visual and HTML editors causes weirdness.
I never use the visual editor. However <span style="text-decoration:underline"></span>
works fine on my site too so … while it’s exceptionally annoying, it’s technically doing what you asked for: A bog standard underline.
My suggestion: If you really need full and absolute control of design like that, use the HTML editor.
I know, I know, the Visual is easier for a lot of people, my family included. I just never use it because it’s not as robust and makes me fit into this little, predefined, box. I write, then I go back and apply styles, then I preview, then I post. The repeat as needed happens a lot before I post.