To use the new text features you must work with the TextFrame2 object. In 2007 this is a bit broken so you might want to explain how you referenced mgunderline. In 2010 you can use TextRange2.

[VBA]Sub newstuff()
'This is broken in 2007 but works in 2010!
Dim otx2 As TextRange2
Set otx2 = ActiveWindow.Selection.TextRange2
otx2.Font.UnderlineStyle = msoUnderlineDotDashLine
End Sub[/VBA]