8 pages, 7 Figures, Phys. Rev. BInternational audienceBy measuring the microwave dissipation in the vicinity of the Josephson Plasma Resonance, we have probed the influence of an in-plane magnetic field on pancake vortex correlations along the c-axis in underdoped Bi$_2$Sr$_2$CaCu$_2$O$_{8+\delta}$ ($T_c=72.4 \pm 0.6$ K) single crystals both in the vortex liquid and in the vortex solid phase. The in-plane field enhances the interlayer phase coherence in the liquid state, close to the melting line, but slightly depresses it in the solid state. We interpret this as the result of an attractive force between pancake vortices and Josephson vortices, apparently also present in the vortex liquid state. The results unveil a boundary between a corre...