the only difference is they are underneath serving their purpose. The underlay for a fill area is a little density fill underneath the top stitch. A zigzag underlay is simply a lighter density satin column below the top satin column it supports. The density of an underlay object can be adjusted up or down just like the top stitches they support.
If your top stitch appears too thin, you can see the fabric showing out, you would like to increase the density of the top stitch or of the underlay? It is certainly increase underlay, because in most cases, a 10% increase in underlay density will equate to less additional stitches than a 5% increase in top stitch density. So I will suggest you to increase the density of your underlay more than the top stitch without as a change in overall stitches.