If an attempt is made to add a domain name to the SWG blacklist that contains an underscore character (_) an error message will be encountered asking that a valid domain or IP address be entered.
! Please enter a valid domain or IP address.
The _ character is not valid for a publicly accessible URL or hostnames, per RFC 1738 section 3.1.
This is working as designed. If the _ character is in the subdomain, the base domain could be added to the blacklist.