If no style has been applied to the link, it will inherit whatever its parent is set to. The SKY UX has links styled to show no underline on links. You can double check if this is occurring by previewing the Pushpage and inspecting the link using your browser's inspector tool. You would see the following:
When a Pushpage is sent out, the link style will show as expected because the Pushpage isn't being loaded with the rest of the back end code. The browser will add an underline to the link which is a default thing that most browsers do.