This is more difficult than it sounds. Undo needs to be implemented individually for every game. It's not a box you check to just make it happen. Furthermore, undo is tricky to implement correctly and very bug prone. As such, it's often avoided by game developers.
I understand it's a very highly requested feature, especially by those who don't appreciate the effort required to implement it. I would offer that BGA games are usually open for anyone to contribute to, allowing those who feel strongly about it on particular games to contribute the feature themselves if they're inclined.
Lastly, while Undo is the most frequently suggested feature I've seen, it's not universally loved. Official BGA policy states that undo should be avoided in games. Many players wish there were an option to get rid of it entirely.
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Sources:
https://boardgamearena.com/forum/viewtopic.php?p=211616
"As a rule of thumb, on BGA we advise you to not undo moves. Undo are painful for opponents, in real world and online. Some players may also use Undo to 'test' situations while they should just think instead. In many cases, proposing an 'Undo' means also adding an extra step, which is not good for the game interface."
See
https://boardgamearena.com/doc/BGA_Undo_policy
