I've done my bit of save scumming, but I rarely do it these days. This is mostly for gameplay reasons, but the terrible load times help too. The exception is if I have been working on a wonder for ages, and get beaten to it by a few turns, I will often go back and see if I can boost production. I really wish there was another mechanism than the unfinished wonder just vanishing. The first thing that comes to mind is a popup letting you choose to either cancel production and salvage some resources back, or to continue making a "lesser" version of the wonder.
Anyway, I do consider reloading to get a different random outcome as a form of cheating. It is something the player can do, which the AI opponents can not. It is equivalent to taking an extra dice roll. Going back to change your actions, as I sometimes do with wonders, well...it is not quite the same, but it is still a form of cheating, because by going back, I get to make decisions based on information which would normally not be available to me until later.
In Stellaris, I play in Ironman mode, as that is the only way to earn achievements. I like having that option, as it helps me maintain discipline, and forces me to commit to my decisions.