The recommended style is to use a hyphen to separate words in message keys: https://www.mediawiki.org/wiki/Manual:Coding_conventions#System_messages
The Cite extension has 37 underscore-separated message keys, so we need to decide whether it's worthwhile to move them over to the standard punctuation. This would put some burden on the translatewiki.net administrators to help move the existing messages, and would take searches through active wikis to rename overridden messages.
We (translatewiki.net) have tooling for renames now, so it's easy from out side. But from our side non-consecutive underscores/spaces are okay.
The biggest burden is not so much on the i18n infrastructure as on the end users, probably. Some of those message keys have been around for over a decade and are heavily customised on a lot of wikis, if I remember correctly.
Personally, I think this is not worth the trouble. Especially because most of these messages are extremely old (from 2005!). Following a common style guide (the extensions name first, all lower case, dashes) is super nice for new code and new messages. But here? What are the benefits of changing it now? When are the underscores an issue?
Thanks for the responses, and for helping educate me! It seems clear that we shouldn't do this work.