This only happens (as far as I know) with Book reference types (it doesn’t happen in Journal reftype I know, but I haven’t checked the others). In Pages '09, when you insert a Book citation, the title is not italicized (but sometimes it is - it is random and seems to have something to do with either punctuation in the title or the length of the title). In the preview window in both Pages and Endnote, the title is italicized. This happens in any style (APA, Chicago, MLA, Turabian, and Author-Date, which strips the underlines). Other reference types are okay though and work as expected.
Many people have noticed this bug on the Pages '09 forum but I’ve heard no mention of it here. Is this something that’s going to be fixed soon or is there a workaround? The only way I have found so far to fix it is to convert citation into text and manually edit it in Pages, but this is by no means desirable, because it strips all CWYW functionality from the included citations in the document.