This is a very interesting question. First, do NOT use any of the print emphasis in the guide words. The purpose of the guide words is only for quick alphbetic location and emphasis indicators slow down that process and aren't needed in guide words anyway.
I strongly recommend the following for dealing with the blue type and underlining in this glossary. Use the dot 46 italic indicator for the underlined words, because that is how underlining is most commonly shown. Use the boldface indicator for the blue typeface. It is NOT necessary to mention the use of the italics indicator in the underlined text in the TN. Just mention that the boldface indicator is used for the blue type and use that in the introductory text that explains the blue type.
Reminder: Don't forget to start using the new Formats Guidelines for all new books after Jenuary 1, 2013. You can start using the new guidelines NOW only for new books. Finish books already started with the 1997 Formats. Print emphasis is treated very differently in the new guidelines! Watch for it!
Thank you for sending the print and braille examples. They were both very helpful.