Have you checked your link underline options under Settings?
One other thing... Within VSD, you'll see all text links underlined, do a preview to see them without underlines. The menu on my site was done as described above. I chose to have an underline appear only on active/hover, but while working in VSD, those links are underlined.

Hi PB - Thanks for that. The underlines have now gone and it's all working as it should!

Good to hear you got it figured out