I hesitate to write this post, because I don't really care if there is an "Undo" button or not, nor if anyone else chooses to use it.
But I do think an "Undo" button will have a negative effect for the overall, aggregated game perception, no matter how it might be taken by individual players.
Because, as has been alluded to, there already is an "Undo" button- reload of the 1-turn autosave. Why don't people use this every turn? Because there is a *cost* to doing so, in your personal time and flow of the game. So in the gaming experience, making a "correct" decision (note the scare quotes) becomes more valuable, since going back to re-load has a significant cost attached to it. So for the generic individual player, there is an incentive to learn how to make a "correct" decision, or at least how to live with the decisions you make, to avoid this cost. For people concerned with immersive gameplay, this would seem to be important- after all, no one gets a do-over at history/destiny/what-have-you.
It is certainly true that an "Undo" button would facilitate the game play for a number of reasons, misclicks being the most obvious case. But to have this feature would remove the *cost* associated with making a "poor" decision on the part of some, and would remove at least some of the incentive to learn the game so as to avoid having to reload. I don't begrudge anyone that- Undo what ever you want! - it's no skin off my nose. But I do think it is true that for the casual or less attentive player, having this option will make the game, not less fun, but will give rise to the overall perception that the game is "easier" or not as much of a challenge. Again, I have no problem with any individual player using an "Undo" button or the reload feature if that enhances their experience, but I do think that inevitably it will lead to Civ as a game being perceived differently, not by CivFanatics, but by the wider gaming public.
So I think that Firaxis will make this decision purely on economical terms: do they think that most players regard Civ as too difficult, and that its complexity is a barrier to entry, so that they can entice more purchases by including an Undo button? Or are they concerned that offering this feature will dilute the reputation Civ has as a fun but complicated game that is challenging to master? They haven't added one through 6 iterations of Civ, so my money's on the latter, but I'm interested to learn that Old World (which I've never played) has this feature. I'd be curious how that affects people's perception of that game.