Join, leave, first join, death, and chat msgs have underscores in the username escaped. The advancement messages do not for some reason. This has been a 'bug' for a while, just haven't been able to get an instance and report before the next plugin update. Currently running 1.19.1 on 1.16.1 Paper : )

Config Value

MinecraftPlayerAchievementMessagesFormat: ":medal: %username% earned advancement %achievement%!"

Result

Fixed in development build, https://snapshot.discordsrv.com