This is another one of those little tricks that can save you from pulling your hair out trying to figure it out.
By default, hyperlinks in a Report Services document are underlined. The underlining can not be removed by changing the format of the attribute or metric.
There is an Enhancement Request open with MicroStrategy on this, but MicroStrategy does currently provide a workaround.
Workaround to Remove the Underlining is to Clear the Default Link
Step 1: Right click the object that is linked and choose Edit Links.
Step 2: Click the Clear Default button while the link is highlighted.
Step 3: The underlining should now be removed as shown below.
CAVEAT: The only limitation to this workaround is that in order to now get to the link, the object has to be right clicked on. The user can not directly click on the object and be taken directly to the new page (see screenshot below).