When applying the font underline attribute to a cell that contains blanks the blanks are correctly underlined on the screen but not when print previewing them.
Unfortunately there is no solution because the Windows SDK ::TextOut method works that way and we couldn't find a way how to work around that problem.
Try a simple view (no grid involved at all) with an underlined font selected into dc and call TextOut.
You will see that this will not print underlined although it shows it correctly on the screen.