On Windows there is an option in the accessibility settings for the keyboard to "Underline access key shortcuts in menus when they are available" (in German: Tastenkombinationen unterstreichen, falls verfügbar"). This option is not honored in versions where we use the Breeze style. When using the Windows style, the underscores are always shown with that setting in the menus.

This is especially important because it seems that while pressing "ALT" does show the underscores in the main menus, the sub menus close on pressing ALT, so that the underscores are not shown there unless one sets the option to always show them. (Might be one could configure to use another key than ALT for closing the sub menus, but I guess people will usually have it like this.)