Not underlining links is a web anti-pattern, a concession made in the name of looking nice while at the same time being more confusing. Looking nice is very important for web designers at this time, so usability is neglected...

It can't really be considered an anti-pattern when nearly every website on the Internet does it in one form or another.

"the entire web mainly uses color to differentiate between links and normal text"

I sense hyperbole, but would love to know what the actual proportion is. I suspect the majority of text links (as opposed to, e.g. menu navigation) are underlined.