Huh, it should work - it looks like a bug. I think I know what is probably causing it. It detects changes to the underlying file (in case someone edited the RTF file in the Scratch Pad folder separately) and updates the content of the scratch pad if it notices a change, resetting Undo. I think it is probably detecting changes it is making itself. I could have sworn I fixed that ages ago, but it looks as though it has snuck back in. Added to my list, thanks for pointing it out.
I see that there is already a thread for this here, so I just add my comment: I still have the same problem (no undo in scratchpad) here with Scrivener 2.8.1.2 on OSX 10.12.2. I did cost my a litte bit of text lately, so just want to ask: Is this fixed somehow and just doesn’t work on my machine?