Using lualatex, I have uderlined links :
Using pdflatex they are gone :
\documentclass[french]{article}
\usepackage{xcolor,hyperref,tikz}
\hypersetup{%
colorlinks=true,
urlcolor=blue,
urlbordercolor=blue}
\AtBeginDocument{\hypersetup{pdfborderstyle={/S/U/W .6pt}}}
\tikzset{RndBox/.style args={#1 and #2}{%
thick,
fill=#1,
inner sep=0pt,
% outer sep=0pt,
draw=#2,
text=#2,
rounded corners=2pt,
minimum width=.6cm,
minimum height=1.25em,
text depth = 0ex,
font = \bfseries\sffamily
},
RndBox/.default={gray!25 and black}
}
\begin{document}
\href{%
https://studio.code.org/s/course3/stage/2/puzzle/1}{%
\smash{Labyrinthe}} un lien
\medskip
\tikz[anchor=base, baseline]
\node[RndBox,minimum width=20pt] {C} ;
\href{%
https://studio.code.org/s/course3/stage/2/puzzle/1}{%
\smash{Labyrinthe}} un lien
\end{document}


\AtBeginDocument{\hypersetup{pdfborderstyle={/S/U/W .6pt}}}? It seems to do something under LuaLaTeX but not under pdfLaTeX. If I remove this directive, the output of your sample code is the same under both pdfLaTeX and LuaLaTeX. – Mico Feb 07 '18 at 15:46pdfborderstyle={/S/U/W .6}works fine for me. – Ulrike Fischer Feb 07 '18 at 15:54pdfTeX 3.14159265-2.6-1.40.18 (TeX Live 2017)– Tarass Feb 07 '18 at 15:55