So, it's actually more a Lemmy bug. Lemmy stores the comments just fine but the API displays it with markdown. The double underscore is screwing up other apps abilities to display it and there's really no way to avoid that. A third party app can't tell if it's supposed to be interpreted or not.
So on Lemmy, all the URLs look fine. On Kbin or any other apps, they'll all get cut off after the first underscore.