I did set all the link styles in the Inspector to what I want, on the master page as well as on individual pages when that didn’t work, but the underlines are still there.
When I select one of the links, its character styles shows up as underlined, and it doesn’t allow me to toggle the underline button.
I tried “Remove Styling” to no effect. Something is overruling what I am doing, but what?
Try going back into your inspector palette, click on the paint brush, and select the links drop down arrow and then click more. Once you’re in that for the “link” and “visited” styles add a “style” from the drop down + thing and leave it with nothing selected.
This will remove it only for those styles so if you want to have no underline on hover or active then you’d do the same thing.