Troubleshooting
No underlines, the shortcut does nothing, or an app behaves oddly: the fixes that solve almost every case.
No underlines anywhere
macOS sometimes keeps a permission for an older copy of the app. In System Settings › Privacy & Security › Accessibility, select WriteNative, click − to remove it, then + to add it again from Applications, and turn it on.
⌥ twice does nothing
Pressing ⌥ twice needs Input Monitoring; after turning it on, restart WriteNative. Or use ⌃⌥R, which works without it. If another app already uses the shortcut, Settings › Shortcuts tells you and picks another.
No underlines in one app
Check the menu bar menu: it may be turned off for that app. Some apps (Pages, Keynote, terminals, Google Docs) don't expose their text; use ⌥ twice there.
Still stuck
Choose Check for Updates… in the menu bar menu, then write to hello@writenative.app with your macOS version and the app you were typing in.