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Hello,
At the moment I can see that only the welcome menu is underlined.
Did you solve your issue in the meantime?
I found the underline indicated the current page. That didn’t make sense for the 2nd menu heading, but my theme / menu required a url for the menu heading so I had put the homepage. Therefore even though the menu heading was the name of another page, the link was to the homepage, thus there were two underlined menu items, the homepage and this other.
solved by replacing a full url in the custom link menu item with a #