The underscore is used to underline text in Markdown. If you want to display a real underscore like this: _, you have to escape it with a backslash. Some clients apparently interpret this rule even in plain links, and some don’t. If we use real Markdown links this should not happen.
Don’t put it in /usr/bin, that’s where your package manager puts executables, not you. Other than that, do what you want. /usr/local/bin is good, or if it’s only for your user ~/bin, ~/local/bin or ~/.local/bin - I don’t care. Also just let your users decide where they want to put the script.