Yeah, I've come around to Undo. Probably my most common use case is I'll move a worker to a tile thinking, "I'll build X here" and then I realized, "oh, I can't build baths here" or "oh, I'm out of shrines" or "hmm I forgot I could build X, but it would be better to build X somewhere else". There are other ways to get assistance with what can be built where, but I still tend to move the worker to a promising tile and then decide "let's build here" or "let's not build here after all".
Second-most-common is realizing I'm out or almost out of orders and forgot something really important, like taking care of that barbarian invading the other side of my empire. Or claiming a city site/building a city that I really want. Being able to tell a worker, "not so fast, you aren't my top priority right now" is really nice in that case.
I was also re-reading part of one of my Civ3 stories recently, and part of the story is how due to "miswritten orders" (clicking on the wrong tile) my unit did something stupid, and got annihilated. That is part of life in Civ, but doesn't have to be in Old World.
Although I do see how when abused, it could be considered a form of cheating. E.g. let's say you declare war on the Babylonians and proceed to get destroyed, if you act soon enough (and, in extremis, potentially even a few turns later) you could undo a whole bunch of times and undo the entire war. Of course someone could try more or less the same thing in a Civ GOTM, or in Old World without Undo enabled, by reloading from a few turns back, with there being a question of how do you detect that? And how much effort do we want to put into that versus the main event, which is having fun playing the same Old World map?
All of which is to say I see the arguments from both sides, and will likely partake regardless of whether undo is allowed or not. If it's not allowed, it'll probably sharpen up my worker-planning a bit. If it's allowed, I'll probably use it lightly for worker management/things I forgot about/correcting misclicks, but not for anything crazy like undoing a war.