A couple of years ago, hyperlinks in Stack Exchange posts started to appear underlined as well as in blue text. (I can't find the official announcement of this change, but it seems to have been in August 2018 judging from this post from someone who thought it was a bug: Underline appearing for hyperlinks)
I noticed today that this functionality has not extended to private moderator messages. I can't provide a screenshot, of course, since privacy of these messages is important, but hyperlinks in mod messages just show in blue text, no underline.
For consistency at least, as well as for whatever visibility/accessibility advantages caused the underlining to be added in the first place, please can this be fixed?