StyleCop is configurable per project. Right-click on a test project, select StyleCop settings, and disable the underscore rule for your test project.
What you can do then is keep all your test projects in a sub-folder, e.g. test/ (on the disk, not solution folder) and move the Settings.StyleCop file up from the project folder to the test/ folder. Now you can share the one settings file between all your test projects.