Sorry I'm going to bother you again: :-)
No problem -- you are probably correct that we should just convert the stuff, preferably before saving. OTOH, this has a probable negative side- effect: People might continue to type [[foo_bar_baz_boo_bad]] without us even noticing; that is, they might spend more effort than necessary.
Perhaps, if underscores in links are detected, a bold warning message should be prepended on the page: "You have used underscores in your links. This is not necessary. See .. for more information. The underscores have been filtered".
Regards,
Erik