The editors can get a little over-zealous at times. It is difficult to get them to allow an empty element of any kind.
Using the non-breaking space usually does the trick and I haven't seen the behavior you're describing with the underscore characters. Can you give me a link to your site so I can see it in action?
You can also try placing actual text, something meaningful so it will make sense to the search bots, and then use the text-indent CSS property to hide the text. Also, try replacing the href with onClick.
HTH,
Joe D.