I’ve adapted your theme and found that links do not appear to be underlined - contrarily to what I would have assumed from:
<dict>
<key>name</key>
<string>orgmode link</string>
<key>scope</key>
<string>link.orgmode</string>
<key>settings</key>
<dict>
<key>foreground</key>
<string>#FB9A4B</string>
<key>fontStyle</key>
<string>underline</string>
</dict>
</dict>
I’m using a modified version of Twilight, on OSX.