Oeps, was a bit too eary with Best Answer :-)
I use the .acym_unsubscribe { font-size: 12px !important; color : #999999 !important; } to change font/color. If I include the suggested line, the link with be blue again and still underline.
If I include text-decoration:!none !important; in font/color line, also same result.
The underline isn;t direct problem, but like to have same color as text (light-grey)
/Robert