I guess Drago does not implement that feature, because not all Go bots accept to undo (even though GnuGo does).
You might try with another software, something more modern like Sabaki.
If you use GnuGo only to review your games, you can try
GoReviewPartner that has a version for GnuGo. When you review the game with it, you have the option to open the current position on a different go board and play out different variations with GnuGo, where Gnugo can be asked to play whatever color, and undo is possible.
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I am the author of
GoReviewPartner, a small software aimed at assisting reviewing a game of Go. Give it a try!