QGIS » QGIS Application

I think it's a feature. I check the code, the is this function to remove the underscore and to capitalize the first letter.

QString QgsMapLayer::formatLayerName( const QString &name )
{
  QString layerName( name );
  layerName.replace( '_', ' ' );
  layerName = QgsStringUtils::capitalize( layerName, QgsStringUtils::ForceFirstLetterToCapital );
  return layerName;
}

I think it should be straight forward to remove the function (or just simply return the same layer name). But I am not sure if it's better to remove the feature or not (perhaps there is pro-reason for this feature)

To be complete, here's the pull request https://github.com/qgis/QGIS/pull/5608 that made the change and the rationale.
I didn't notice the changes until your message (new loaded layers are indeed renamed). I'd personally love to keep the layers the way I named them in the datasource; actually I've never used the capitalized naming option and prefer to rename layer (if needed) in a (grammatically) comprehensible "title" rather than simply remove underscore (eg for legend).

More information why i'd like to keep the case: I use to retrieve data from partners that have a way to name their data (using capitalized letters - not strict btw) and have to find changes on some area and paste those data in my layers with the same name but always in lower case (with underscore when needed). When all files are in the same project, I can easily identify what is my layer and what is theirs. With the automatic renaming, this would become less obvious imho.

I think it should be straight forward to remove the function (or just simply return the same layer name). But I am not sure if it's better to remove the feature or not (perhaps there is pro-reason for this feature)

Thank you Ismail, I think it should be better to remove this function (or at least set this as optional), because it could create confusion.
It also overrides the name when loading a layer through Python APIs.

actually I've never used the capitalized naming option and prefer to rename layer (if needed) in a (grammatically) comprehensible "title" rather than simply remove underscore (eg for legend).

Thank you Harrissou, I agree.
I work with satellite images that have names including underscores. I think that it is always better to leave the original file name.