Could you provide some more information? I can assure you that in general undo works in Windows. While there are a couple of bugs logged against undo, there are currently no Windows only undo bugs taht we know of.
I work primarily on Windows, and use undo quite often.
There seems to be a slight lag that can occur between keystrokes. We're so used to zipping through Adobe's products that we're probably forgetting to some extent that we're playing with Catalyst Beta 1. I've noticed that if I pause after performing a significant action, like creating button states or something, Catalyst will catch up to me. I suspect it's processing the previous commands and if I immediately launch into a steady stream of undo's, it causes Catalyst to stall. The remedy (for now) seems to be to take things slower than you normally would, don't type quite so fast, and pause to let Catalyst catch up now and then. You'll have a much better experience. At least I am. Undo, most definitely works in Windows. Pausing between undo's helps. This product is extraordinary for those of us without a "Frontal Flash Lobe". Just when I think I can't do something, I realize I can.