It implies a problem that needs solving. Undernourished, underbaked, underachiever. I’m struggling to think of a word so-constructed that doesn’t imply a need for improvement, aside from ones that are purely positional (undercoat). Underbid, I guess, but that seems in a different category to me.

It seems appropriate to me to describe a slum with poor roads and power as underdeveloped, but weird to describe wilderness as underdeveloped. The former brings to mind philanthropic NGOs, the latter, villains from popular pro-environmentalism fiction.