A bookmark's name can consist only of letters and digits and the first symbol has to be a letter. This is a validation rule enforced in the ManageBookmarksDialog and the behavior of the latest 2012 Q1 is the same as the version of controls you are using - 2011.2.0920. You can easily test that in the Telerik Editor online demo.
However, as most pop-us that RadRichTextBox uses can be replaced with custom ones, you can create and use another dialog that allows underlines in the name of the bookmark. Please find attached a demo illustrating how this can be done in the version of controls you are using.
All the best,
the Telerik team
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