"Normally, WORD underlines text and spaces - underlines all."
That's NOT what Word 'normally' does, I'd say.
Word underlines text and spaces if you toggle underline with ctrl-U or the U tool in the toolbar or set the font to underline.
To make Word underline words only, you need to toggle that mode with shift-control-W or the W tool in the toolbar (needs customizing to contain it) or set the font to underline word only.
These are strictly equivalent. And in my opinion ctrl-U isn't more 'normal' than shift-ctrl-W. Or ctrl-I or ctrl-B, for that matter. Just a little bit more usual and better known. Had Microsoft made another choice for icons in the default toolbar it might just as well have been the other way around.
And don't you agree that 'normally' is a rather strange way of describing 'when I press ctrl-U'. Just like 'normally' is a rather strange way of describing 'when I press ctrl-shift-W'.
Note also that it's a rather strange option in the Font dialog window, at least in Word 2000. It lets you specify 'underline words only' in only one default style (single line), while you can specify 'underline words and spaces' in many styles (dots, multiple versions of dashes, double line, ...). Wouldn't it be logical if these were different choices: one for WHAT to underline: words only versus words and space, and another one for HOW to underline (single line, double line, dots, dashes etc). But it could be that higher versions of Word are better in this respect than Word 2000.