That's a feature that was hidden from me at least, but honestly, this is a good-ish solution to that problem.
I remember Office having the underlines, but they were inconsistent between the original English and my localised version (and I used both depending on the machine), which made them useless. That wasn't that big of an issue when all the normal keyboard shortcuts are also written out, but it would have been even less of a problem if I knew how to edit them.