Feature was never supported, closed as by designed.
How to reproduce:
1. Create a new Unity project
2. In the Project window, create the multiple scenes (right-click -> Create -> Scene -> Scene)
3. Drag and drop all scenes into the Hierarchy
4. Right-click any non-active scene in the Hierarchy -> Set Active Scene
5. Undo the action and observe the results
Expected results: The action is undone
Actual results: Action is not undone