Is it possible to change the color of the line in "underlined text" created
with the %%u without changing the color of the text ?

I don't know how to change the %%u, but this will do the same job.
Just change the layer/color to suit :

;;;CODING STARTS HERE
(defun C:ULINE ( / textent tb ll ur ul lrx1 y1 x2 y2 p1 p2)
(setvar "CMDECHO" 0)
(setq textent (car (entsel "\nSelect text: ")))
(command "UCS" "ENTITY" textent)
(setq tb (textbox (list (cons -1 textent)))
ll (car tb)
ur (cadr tb)
ul (list (car ll) (cadr ur))
lr (list (car ur) (cadr ll))
fact (* (getvar "LTSCALE") 0.3)
x1 (car ll)
y1 (cadr ll)
x2 (car lr)
y2 (cadr lr)
x1 (- x1 fact)
y1 (- y1 fact)
x2 (+ x2 fact)
y2 (- y2 fact)
p1 (list x1 y1)
p2 (list x2 y2)
);setq
;;;I use Ltscale as my scaling factor.
(command "LAYER" "M" "10" ""
"PLINE" p1 "W" (* (getvar "LTSCALE") 0.05) "" p2 ""
"UCS" "P"
);command
(princ)
);defun
(princ)
;;;CODING ENDS HERE