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I have seen in some places, like this, that QGIS file names are made with a connect underline.

For example a file name will be "World_Map" and not "World Map".

Is this underline is somehow important or is it just the acceptable form of writing, without any significance?

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    Some command line tools get stuck with blanks in paths and file names unless you put them in double quotes. – AndreJ Nov 19 '18 at 7:34
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    Even in the 21th century it is quite often that some tool does have problems with whitespace in filenames. Therefore some users tend to avoid this point of failure wherever possible, even if it might not be a problem in this specific case. I do teach my students the same for exact this reason. I can´t explain that to the typical, non informatics oriented users why some tool throws incomprehensible errors. – Matte Nov 19 '18 at 7:35
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As was written in the comment whitespace in the file name can cause problems running the file in some tools.

In order to prevent this problem the file names are made with an underline between the words.

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