I think both my boys were slightly underweight at their DodMERB physical and definitely were when they got to USAFA. One was put on that Ensure diet (They barter them; it's pretty funny. I'll trade you two chocolates for one vanilla) because he had extremely low body fat.
They are both still thin, but marathon running, mountain climbing, weight lifting will also tend to put on weight (muscle).
Try doubling the enhanced protein shake intake, AND adding weights.