To explain the predicted answers and evaluate the reasoning abilities of models, several studies have utilized underlying reasoning (UR) tasks in multi-hop question answering (QA) datasets. However, it remains an open question as to how effective UR tasks are for the QA task when training models on both tasks in an end-to-end manner. In this study, we address this question by analyzing the effectiveness of UR tasks (including both sentence-level and entity-level tasks) in three aspects: (1) QA performance, (2) reasoning shortcuts, and (3) robustness. While the previous models have not been explicitly trained on an entity-level reasoning prediction task, we build a multi-task model that performs three tasks together: sentence-level supporting facts prediction, entity-level reasoning prediction, and answer prediction. Experimental results on 2WikiMultiHopQA and HotpotQA-small datasets reveal that (1) UR tasks can improve QA performance. Using four debiased datasets that are newly created, we demonstrate that (2) UR tasks are helpful in preventing reasoning shortcuts in the multi-hop QA task. However, we find that (3) UR tasks do not contribute to improving the robustness of the model on adversarial questions, such as sub-questions and inverted questions. We encourage future studies to investigate the effectiveness of entity-level reasoning in the form of natural language questions (e.g., sub-question forms).