Getting underlines to print from the Macintosh VT terminal client (or any other VT terminal emulation client for that matter) is not trivial.
* Underlined text on the PacerTerm screen (or any VT terminal client) is created through standard VT escape sequences to start and stop underlining. In other words, when text is to be underlined, an escape sequence is sent by the host to start underlining, and another escape sequence is sent when underlining is to be turned off. These escape sequences are what is captured by PacerTerm in the session, so when the user selects print, these escape codes are in turn printed (this is most likely what the ü is).
* Printing underlines typically are handled easily by DEC line printers attached to the mainframe, or a terminal with a serial port. The DEC line printers are able to "interpret" the above mentioned escape sequences (or any other line drawing escape codes) and so can print underlines.
* PacerTerm supports serial printing via "AUX Printing" in the Terminal mode settings. You may be able to connect a DEC line printer to the Macintosh computer's serial port, though implementation could get quite messy. A program/driver would be needed to handle the printer session -- sending escape sequences to start and stop flow of the serial stream through the Macintosh computer's serial port.
* As a "shot in the dark," you may try to cut-and-paste the data to a Macintosh word processor to see if the underlines come through.
The bottom line is that printing underlines is not possible from PacerTerm at this time. It's not an impossible feature to implement at the application level, but there would have to be some intelligence in the application to "note" which sections of text are underlined, and then integrate them with the calls made to the Mac OS Font Manager.