[dba-SQLServer] explanation for differences in option naming scheme?

Can anyone explain why sometimes SQL Server options and properties have
underscores and sometimes they don't? I'm sure this has to do with some
naming scheme that I'm just not following. 
 
Example: 
 
SET optionnames:
 
SET STATISTICS IO
SET SHOWPLAN_ALL
 
I see this alot and I don't understand it. 
 
Susan H.