I don't seem to have any problems doing it?? I type "Subtitle" and selected a numbered bullet, then underlined. No problems. Something odd must have happened - try showing all formatting and field codes in Tools... Options... View tab
[edit] gazzae is right but the default bullets don't have underlining - you have to customise the bullet and choose the underlining, which includes an option to just underline words (and not the number). You didn't mention this, and it's a bit more advanced, so I discounted it
