I am seeing the same effect here. Thank you for the clear description.
case=10091
This seems to happen with certain fonts and font sizes, on italic text.
One user reported this problem with the font "Courier New" size 10, and fixed it on their system by editing the font its self to move the underscore up by one pixel. But I am not sure what tool they used to edit the font.
In VS2010 highlight current line can be set to either "Frame" or "Background", while earlier IDE's (excluding VC6) offer "Dotted box", "Solid box" and "Foreground and background".
So unfortunately the option you are looking for has been removed. There are different options since VS2010 works quite differently from VA's perspective, and offers different drawing options.