In 1.1 they recently added the ability to automatically build underground belts, as discussed in Friday Facts #364. This appears to work with vanilla belts, but not the new belts added by Bob's Logistics. When dragging ultimate transport belt it doesn't automatically create ultimate underground belts like it would with an express belt.

It's a known issue, and is on my todo list.

I just haven't gotten around to it yet, because I've been doing things other than modding.

There is an easy fix/workaround until this is implemented - if you like editing the mod files.

You can add:

related_underground_belt = 'xxx-underground-belt', where xxx is equal to the name of the tier - e.g. basic, turbo or ultimate

into the prototypes\entities\belt.lua file.