Depending on the font, it can collide with underlining (as in hyperlinks). I also once had a case where the dashed line a document viewer displayed for a page break hid underscores that happened to be on the last line of the page, causing the recipient to misinterpret the documentation.
In proportional fonts, underscores are generally wider than spaces, creating larger gaps between the underscore-separated parts than between the surrounding space-separated words. E.g. in "AAA BBB_CCC DDD", "AAA"/"BBB" and "CCC"/"DDD" are closer together than "BBB"/"CCC". In some fonts the difference is quite substantial. This makes for incorrect/unintuitive visual grouping.
You have to press Shift to type them. On mobile keyboards, underscore is usually one extra layer removed. For voice dictation, it's also longer than "dash" or "minus".
