I found some documentation on the web which explicitly mentiontions this
behavior.  The man page doesn't.  Neither source seems to mention that you appear to be able to get around the problem by using a double underscore to mean underscore.  Its pretty bad because everything seems to work until you hit an underscore.  zenity is used from scripts and such to show random gunk so it seems this characteristic is a lot more likely to cause confusion than be useful, I think that:

* this feature should require a command line option to take effect

* the man page should be updated to discuss it

* the double-underscore trick should be described somewhere