The only hard rule I know is to set them flush by default, because there’s a specific Microsoft guideline that says they should. Otherwise, I do kern them.
The reason to have them flush—or better, just slightly overlapping—is that people sometimes set rows of underscores as a quick "blank"... actually really common usage. Even by pro designers.
Of course you could have it not flush... and use kerning for that. :-) Especially if doing so reduces kerning work with all the other glyphs. I do that with the em-dash, and even the tilde (makes a nice wavy line).
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That is all.