From what I can see from this question and this response on the Python mailing list it looks like this is due to numerous naming conventions throughout the Python packaging system, and the compatibility between them.
Pythons setuptools runs safe_name which:
Convert an arbitrary string to a standard distribution name
Any runs of non-alphanumeric/. characters are replaced with a single ‘-‘.
Even though pip, easy_install and PyPi may accept the underscore, when installing it is changed to a single ‘-‘ for setuptools standards.