Proč se podtrhává celý odkaz, když by část neměla?

On se podtrhává odkaz a nikoli span. :-)
Možná lepší to bude vidět tady. Efekty se kombinují. Nelze odpodtrhnout něco, co už je podtržené.

Milan1236000:
text-decoration funguje trochu inak:

Text decorations draw across descendant elements. This means that it is not possible to disable on a descendant a text decoration that is specified on one of its ancestors.

For example, in the markup <p>This text has <em>some emphasized words</em> in it.</p>, the style rule p { text-decoration: underline; } would cause the entire paragraph to be underlined. The style rule em { text-decoration: none; } would not cause any change; the entire paragraph would still be underlined.