Actually this has nothing to do with you clicking on underline or italic, it has to do with the fact that if you have already clicked on that link, it does get a blue color coming from a visited CSS rule.
@weaver, there is indeed a visited link blue color in the weaver css file style-weaver.min.css
.widget-area select{margin-left:1px}a{color:#00e}a:visited{color:#00e}
I am unclear about the visited styles present in the style sheet, as there are no places in the admin to set them.
Are the visited color supposed to be set to the same as the link color, in which case there may be a bug, as she does have the link color set to brown (a, .wrapper a {color:#5C3317;} a:hover, .wrapper a:hover {color:#081040;}), but the visited color is still blue.