Steps:
- place a yellow underground belt
pick up a red underground belt and hover over the exit
Belt should be shown coming out of the underground and arrows on the "hood" should point outwards.
Actual:
Belt is shown entering and the arrows point inwards.
When repeating the test but holding a yellow underground belt, the icon goes red (as in the bottom right of the posted image) since you can't place it, but the belt goes the right way and the arrows are correct.
Final note: actually placing the underground belt upgrades both entry and exit to red belts with no connection issues. This is just a visual issue when holding an upgrade version over the top of the old.