This may be a really dumb question, but I think that I remember hearing that they link to other pages and that there is away to follow the link. Maybe it is just for emphasis
Man pages don't hyperlink. Are you possibly thinking of GNU info pages, which do hyperlink?
Either way, underlining/hyperlinking is up to discretion of the writer, which may or man not be consistent. Remember that there are several versions of UNIX,and each 'manual editorial policy' as such may be different.