Hostnames can only contain letters, digits and dashes. But domainnames can contain any character, including underscore. Quite often an underscore is used to avoid misinterpreting a domainname for a hostname.
Example: domain "_spf.example.org." could exist. There's no chance that this would collide with an existing host. This domain could hold an SPF policy which customers of provider "example" can include.
In the past not all DNS software could handle underscores in DNS, but things have changed rapidly. Chances are you can use it in your user interface.