Although you are correct in pointing out that links were traditionally underlined, it is not the only way ( look around this page :) ) to differentiate links. Links are generally colored differently and this also seems to be the pattern in the screenshot you shared ( text in red are links). Another major differentiator is the change in cursor on hovering on the link. So the underlined text in your screenshot does not look like it's outright clickable. But, yes, it could be confusing for new users.
In that case, take a step back to figure out why underlining is used. As I understand, it is to make a set of words stand out from the rest of the sentence. Typography provides you various features that allow you to create hierarchy in information. In your case, a certain combination of words is 'more important'than the rest. To create this hierarchy you may play around with the following: font size, font weight, font color, font family, styles like italics & underlining. I generally prefer to use only one of these to create the desired effect. But you could use a combination in case of conflict or you want the difference to be more stark than subtle.