Personally, I am against using underscores in a NES game end credits. Actually, I don't remember seeing underscores in any of the game's text.
We're talking about names here, and so I have to vehemently disagree. Names reflect individuality no matter if it's a screen name or a real name. In fact, I would even say screen names reflect even more personality since they are chosen by the person, not chosen for the person.
I use an underscore on this forum because spaces are not an option, but lots of people use the underscore to uniquely reflect their own username, just as some use numbers, dashes, hyphens, or special characters. Nobody should be able to decide underscores should be used except for the individual. So while no underscore for me in the credits please, I fully acknowledge people's right to request that if they want it.