I added a comment that contains several italicized words, and some links with URLs that contain comments as well. The underscores are well-paired, however after the first URL (which contains two underscores), underscores start appearing.
I think this may be related to some other bugs related to italics in markup. This one: Italics markup not working in comments has a problem with asterisks and double quotes, and this one: Markdown italics with underscores look good in preview but not in answer pertains to answers, not comments.
The post in question: What is the word or phrase of the relationship between an account and a bank?
The text of the comment:
I hate to complain, but _owned by_ does not work, as the bank does not own the account. _Maintained_ seems to refer to an account value. _Rendered_ implies that ownership is transferred. _Controlled_ is performed by the account holder. I could not find [usage examples of account is _administered_, _implemented_, or _trusteed_](http://ngrams.googlelabs.com/graph?content=account+is+implemented%2Caccount+is+administered&year_start=1800&year_end=2008&corpus=0&smoothing=3). _Handled_, _Operated_ and _run_ refer to way the account is used. On the other hand, _kept_ seems to work OK.