Here's why:
* Underline is for titles: Underlining is primarily used for titles of books, movies, plays, albums, etc.
* Malls are not titles: Malls are places, not works of art or literature.
How to format mall names:
* Use italics: If you want to emphasize the name, you can use italics.
* Use regular font: If you don't want to emphasize it, simply use regular font.
Examples:
* I went shopping at *The Galleria*.
* I spent the afternoon at the mall, browsing through the shops.
Ultimately, the choice depends on your style and the context of your essay.