It happens on my system as well: ArchLinux Xfce 4.14 Geany 1.36 (git >= c88c27e2), en_US.utf8 GTK 2.24.32, GLib 2.60.6 Font: DejaVu Sans Mono Book Size: 8
As mentioned in #1387, changing font size makes the underscore visible (though there no usable font size where it appears).
The same happens with Scite (Version 4.2.0 compiled for GTK 3.24.10).
So I think this might be an issue either with the DejaVu Sans font or with Scintilla.