This happens because PixInsight is unable to read one or more swap files. Swap files are necessary to store intermediate image states. When you use the Image > Undo command, a swap file has to be loaded to undo the last processing step.
By default, swap files are stored on the system TEMP directory. Normally this directory is C:\Users\<username>\AppData\Local\Temp on Windows. You might have no access rights to this directory (which would be really strange), your machine might have a hardware problem, your hard disk could be full or almost full, or something may be interfering with PixInsight to read and write swap files. Check your system.