When I hit Cmd+z, ZBrush doesn’t perform an Undo. In the Edit->Tool palette, there’s an – Undo## – and – Redo## – button.
I can set a hotkey in the usual way, and when I hover the cursor over the button, you see the hotkey had been assigned.
When I perform one Cmd+z undo, the hotkey seems to get unassigned. When I hover the cursor over the button, you see there’s no hotkey assigned anymore.