How do I add formats to existing format objects "on the fly" using xlsxwriter

Question

Is it possible to modify or add to an existing format "on the fly" in xlsxwriter? I'd like this functionality so I can maintain a few primary formats and add new criteria on a case by case basis.

For example in the code below I'd like to add an underline format to the dark_blue_header_format in cell A2 only. However, this produces some unexpected results, which are shown in the picture below. I expected A1 and A3 to be blue with 24-size white text: and I expected A2 to be blue with 24-size white text and underlined.

import xlsxwriter

workbook = xlsxwriter.Workbook('demo.xlsx')
worksheet = workbook.add_worksheet()

dark_blue_header_format = workbook.add_format({
    'bg_color': '#5081BB',
    'font_color': '#FFFFFF',
    'font_size': 24
})

worksheet.set_column('A:A', 30)

worksheet.write('A1', 'Company Name', dark_blue_header_format)
worksheet.write('A2', 'Underlined Company Name', dark_blue_header_format.set_underline())
worksheet.write('A3', 'Company Name', dark_blue_header_format)

workbook.close()

I've looked through the formatting docs and I haven't found anything that can add formats on the fly. If the set_whatever functionality behaves like this example then I don't understand what it's useful for.

If it isn't possible to add formatting to existing formats "on the fly" what is the best practice when building many unique formats?

Thanks!