Currently this is only possible with some workarounds via CSS I guess. There is no such feature as headings in LS at the moment for this question type.
As this is clearly no "Installation & update issue" I will move this to the respective forum.
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Provide your LS version and where it is installed (own server, uni/employer, SaaS hosting, etc.).
Always provide a LSS file (not LSQ or LSG).
Note: I answer at this forum in my spare time, I'm not a LimeSurvey GmbH employee.
Thank you! Your solution works perfectly.
I just found out that I can also underline the headings by adding the line
"text-decoration: underline" within the brackets of "li.sub-heading".