https://www.zotero.org/blog/zotero-5-0-36/#faster-citing-in-large-documents

Note that you can use this feature and still make manual edits — you just have to press Refresh first to update any unupdated citations, which removes the underline.

But what kind of manual edits are you making? Whenever possible, you should avoid manual edits and either fix the data in Zotero or edit the citation using the citation interface.

If you provide more details (citation style, metadata details) someone might be able to look at the style and tell you if your issue can be fixed, but it also sounds like you're misunderstanding a couple things:

1) Just removing the underline doesn't make sense, and you should read the section I linked to so that you understand the purpose of it. The underline is telling you that the citation hasn't actually been updated to its final form, because doing that requires checking all other citations in the document. You don't want to edit it at that point because, depending on the citation style, it may not actually be formatted correctly, and that would somewhat defeat the purpose of using Zotero for citing. You can turn automatic citation updates back on (as it is by default), but that's similar to pressing Refresh after each insert.

2) More importantly, refreshing doesn't wipe out your edits. If you manually edit a citation, the next time you refresh or Zotero needs to update the citation you'll get a prompt asking whether you want to keep your edit or allow Zotero to update it properly. If you choose to keep the edit, you won't be prompted about that citation again. However, Zotero then also won't be able to correct the citation if you change data in Zotero or if it needs to change based on other citations in your document due to a style requirement (ibid, author name disambiguation, etc.). That's why it's always better to find a proper fix rather than making manual edits.

If you edit the underlined citations before refreshing and then choose not to update them, the underlines won't disappear (and, again, the citations may not even be formatted correctly yet).

It might be possible to change that styling in Word itself, but no, this won't be changed — again, the underline is there to tell you that the citation isn't in its final form.

And again, you can turn automatic citation updates back on so that new citations get fully formatted immediately. That setting is on by default and would only be off if you either turned it off in the document preferences or agreed to let Zotero do it when prompted after an update took more than 15 seconds.

@turki_rrm: We're planning to fix the issue of the underline not being removed if you choose to keep the edit, but note that you shouldn't be modifying citations in this case to begin with. Use Suppress Author for that and type the author name manually outside of the citation.

I have the very same problem with a citation in my thesis. After adding a new source into my library, new citations started to be underlined. Although it went away when I refresh it, it was annoying. The problem seems to have disappeared when I copy the entire chapter into a fresh word document. I tested a couple of citations by adding new ones or amending the existing ones. No problem comes up yet. Hope it would be useful for those suffering from the same issue.

Would be good to get a fix for this issue. I occasionally need to include citations with text inside the brackets. For example:
(e.g. Smith et al., 2015)
(see works such as Black, 2016; Jones, 2010)
It would be good to be able to print / pdf them without the underlining!

What?? "modifying citations has nothing to do with the underlining"
That's at odds with the rest of the thread above, and with what I'm seeing in front of me right now.
If I add new citations, they are all underlined before I click Refresh. When I click Refresh, the underlining disappears from unmodified citations. But modified citations remain underlined.
But I take your point about using the prefix / suffix options.

When you say "manually edit" are you referring to making an edit directly onto the citation in the Word doc, or using the "edit" window in Zotero at the moment you're making the citation? Asking because I have had a similar issue with the dotted line not disappearing no matter how many times I hit refresh. There are some citations where I need to add explanatory text in addition to the citation, therefore it doesn't seem to make sense to use Word's endnote function.

Manual edit means directly in Word (which is equivalent to using the classic citation editor in the classic dialog, except that the latter is a bit buggy, in particular in affecting formatting).

In terms of creating correct citations, there is no real difference between the two add citation interfaces. Which one you use is principally a question of which is faster for you.

On how to generate the endnote -- you can do this either way: both a Zotero generated endnote with prefixes and suffixes for the explanatory text, or a Word insterted one with multiple Zotero citations inserted in it will work. What you should avoid doing in either case is to edit anything manually ("manually" used as above explained)

It removes the underlining, but not the reason it appears in the first place. I'd recommend against this (presumably, if you are using Zotero for your references you want it to automate them correctly; this breaks it's ability to so so. Underlining may also reappear )