In the editor, if you test play the map, all the undo data disappears completely. It's avoidable but it's really really annoying, especially if you're experimenting with the map. It caused me to lose progress time to time.
We have a big mistake here. Like Genocide said: the beatmap, in order to be tested, must first be saved, and it's normal to have your undo data deleted (since you saved your map is natural to think that you don't need that data anymore)