Hello, thanks for the feedback! You are right that the lack of undo/redo for palettes is frustrating, the reason there is no undo/redo is because the undo/redo system works per-project, and the palettes are global, meaning that they are shared between projects. For the system to work, we'd need some other system that could tell when the user makes a change in the project, and when they make a change in the palette, and apply the appropriate undo.
Alternatively, what we are considering right now is project palettes, palettes that are being stored inside the project files themselves, so people could share projects with each other without having to worry about sharing their palettes as well, which is very useful especially for indexed mode. Project palettes will share the same undo stack as the rest of the changes that happen in the project, so we could finally support undo/redo. This will be implemented at some point, right now we're considering what the best system would be.