There are a few things you can do to help with undo in Illustrator. The first is to make sure that the Undo command is active when you want to undo a selection. The second is to make sure that the red arrow is pointing towards the selection you want to undo, and the blue arrow is pointing away from it. The third thing you can do is to use the Command-Z (Z) key to undo all of the changes made in the selection.
