Is it possible to have SwiftKey *not* remove the preceding space when an underscore is being inserted?
This issue (along with a few others) was raised as far as December 2014. Unfortunately, it hasn't received attention from the developers.
It's rather frustrating having to go back through typed text to correct things from
"It_should_ be fixed immediately" to "it _should_ be fixed immediately".
Ordinarily it wouldn't be a problem if you could simply backspace and correct it. However, fixing this 'typo' requires a careful placement of the caret (which isn't at all easy) then inserting a space and then moving to the end of the line to continue with the text.
This slows text input especially when writing formatted text on WhatsApp and Telegram, both of which use the underscore for formatting.