There are three options for undo history saving and loading.
“Preferences > Undo History > Enable Saving” - Make sure this is on
“Preferences > Undo History > Skip Loading” - Make sure this is off
“File > UndoHistory” - Make sure this is on
Also, If you use the quick save function you need make sure that the following is turned off
“Preferences > Quicksave > Skip History” - Make sure this is off
If all of those options are set correctly it should work fine. It does for me anyway on 4r7p3.
Personally though I leave it all off unless I was trying to show someone else my workflow because it DRASTICALLY increases file size of your .ZPR files.