If I had to guess, I’d guess that Obsidian is rendering the underscore for a level-1 header, even though there is no level-1 header and I’m transcluding a level-4 header.
My guess is that a transclude is rendered like a stand-alone document, including the assumed level-1 header.
I don’t think it’s anything to do with the header. I get it with header or not, and in default theme. It’s the top and bottom boundaries of the embed box; a side only appears when one (R) is needed to scroll.
I’m on 0.13.7, what Obsidian version are you on?