There are a couple of live bugs that may be causing it to seem that way:
- UE-43866 Actions in the Blueprint Enum editor are not added to the Undo History
- UE-31749 Undoing alteration of a local variable’s default value does not actually undo the alteration
These are scheduled to be fixed in a later version of the Engine. Additionally, there are a couple of conditions which will make it impossible to undo:
- After you compile your Blueprint
- When you Play in the Editor (effectively causing the Blueprint to be compiled.)