Prevent Visual Studio 2015 from removing line continuation characters (_) in VB.NET files

I had the same problem, and I was able to fix it by disabling the "Pretty listing" option in the editor. You can find this option here:

Tools > Options > Text Editor > Basic > Advanced > Editor Help > Pretty listing (reformatting) of code

I'm not sure what other auto-reformatting this option disables, but at least the editor stopped removing the line continuation characters in old code/projects.

PS: While the Roslyn team says they fixed this (see links below), this bug is still present in the latest version of Visual Studio 2015.

edit Link to bug report - Link to merged fix (copied from first comment on original question)