Hi Laura,
Thanks for writing in! You can set the color from Customize > Typography – Site Links – http://prntscr.com/czohf5
So the link color will be used as the underline color. If you want to change the underline color without changing the link color, y can add this under Custom > CSS in the Customizer.
.x-navbar .desktop .x-nav > li > a:hover, .x-navbar .desktop .x-nav > .x-active > a, .x-navbar .desktop .x-nav > .current-menu-item > a {
box-shadow: 0 2px 0 0 #f00;
}
Let’s change the color value with your own color code.
Hope this helps.
Cheers!