Why is my CTA showing a blue underlined text?

Nothing to worry about. The CLEAN theme button styles will show your call to action correctly on your web pages.

I'm guessing that you set up all your call-to-action styles in the theme settings, then went to create your very first CLEAN CTA and you saw something like this...

cta-link-no-style

This is 100% to be expected.  Basically, HubSpot's Calls-to-action manager isn't linked to the theme or its CSS files in any way.  So, what you're seeing is an unstyled version of the CTA.

You may also briefly see these unstyled buttons when editing in the CMS but as soon as you hit the APPLY CHANGES button, you'll see your big beautiful buttons.