I can only hide or show the text cursor (using CSI ? 25 l and CSI ? 25 h). When it is shown, it is always a solid block. I prefer the underline.

The DECSCUSR Set Cursor Style escape sequences don't work.

DECSCUSR—Set Cursor Style

Select the style of the cursor on the screen.

Format CSI Ps SP q

Parameters

Ps indicates the style of the cursor.

Ps              Cursor Style
0, 1 or none    Blink Block (Default)
2               Steady Block
3               Blink Underline
4               Steady Underline

This sequence causes the cursor to be displayed in a different style when the cursor is enabled.