It's not that the underscore is special, it's that the underscore is not special. Check for 'magic' in perlop. Only letters and numbers are magically incremented. All others are not. So, when you increment "aa" to "ab" then to "ac" and so on to "az", then "ba" to "bz" and so on to "zz", then to "aaa", etc., you will never reach "aaaa_". It's just not possible. But perl keeps on trying.

Your last test evaluates in scalar context which then does not expand to a list. The .. and ... operators in scalar context work quite differently from list context.