Is there a straightforward way to find all underlined text, both in scrivenings and in inspector footnotes, and replace it with italic text? 
There isn’t an automatic way of searching for and replacing formatting. You can search by a few basic formatting types in the Edit/Find/Find by Formatting... tool, but all it does is search.
However that said, what you are describing is a very common transformation since italics=underlines in many circles. So it has always been a feature of Scrivener to handle conversion for you one way or the other when compiling. In fact, the inverse option is available right in the Summary view of the compiler, but you can also check in the Transformation compile option pane for the conversion you want.
So, in other words, I’d say don’t worry about it. As with changing the manuscript font from Helvetica (or whatever you prefer to write in) to Times New Roman or Courier, it’s better to let the compiler handle the manual labour for you, rather than trying to change all of this stuff in the editor, by hand.