UPDATE: SCOM 2007 R2 Reporting/Data Warehouse install issues

Below is a link to an article which describes the SQL instance underscore issue in relation to System Centre Essentials 2010:

http://technet.microsoft.com/en-us/library/cc308579.aspx

It appears Microsoft have only just realised it applies to SCOM 2007 R2 also (not that the article above says that though).