They are in fact connected.
Factorio - Splitter underground belt junction.jpg
The left lane of your left splitter output (as seen on screen) outputs just before the underground belt entrance.
It's intended behaviour, but at the moment, the graphics don't show this as possible. There's currently a ...

I've only seen this recently so I believe it to be new.

I have a set of belts where one end of a splitter is at 90deg from the entrance to an underground belt. This splitter appears to be 'bleeding' material in to the underground belt as if they were connected. Moving the underground belt entrance ...