In Assets 2.2.2 you can't create folders that begin with an underscore. Until we release 2.2.3 it is possible to rename a folder to a name that begins with an underscore, but this is a bad idea, as you'll be unable to index these files.
As for the reason why:
1) Since Assets now supports multiple source types, to eliminate the need for querying S3 and other types of servers every time you access a folder, we had to implement an index of all files and all folders.
2) Assets is compatible with EE Image Manipulations (for EE sources)
3) Image manipulations are stored in folders that begin with underscores.
I'm pretty sure you can see where this is going, but I'll explain, anyway.
- Allowing the underscores would mean indexing every file in the image manipulation folder and creating a manipulation for those files. And indexing the created files and so on.
- Allowing folder names that are not used by image manipulations sounds great on paper, until somebody creates an image manipulation that matches the folder name and effectively makes the folder disappear from the File Manager. Not to mention that the user might upload some new files, create a bunch of image manipulations in the folder, delete the manipulation and then complain about how "duplicate have appeared". This all is a support minefield.
So, considering all this and the fact, that having a folder begin with an underscore is rarely a requirement and more often a "I like it that way" kind of thing, we decided to disallow folder names beginning with an underscore.
If you think you have a strong case for having a folder name starting with an underscore, you can update to Assets 2.2.2 and edit the $_skip_folder_patterns array in the third_party/assets/helper.php file, but the support we can provide in cases of modified installations is pretty limited.