I see you’re using inline styles. textDecoration: 'none' is used in child, where in fact it should be used inside <Link> as such:
<Link to="first" style={{ textDecoration: 'none' }}>
<MenuItem style={{ paddingLeft: 13 }}>Team 1</MenuItem>
</Link>
<Link> will essentially return a standard <a> tag, which is why we apply textDecoration rule there.
I hope that helps