This was sort of funny at first, then became annoying. At first I thought it might be a focus issue, but was definitely not, and and underlying "cause" may be that most plugins don't have undo features anyway.
 
Long story short, sketching out drums for a rough track, I inserted Geist, began laying out patterns and hit Ctrl-Z. Expecting Geist's undo history to be triggered I was instead met with "Undo Insert Synth" from SONAR. As simple as that, poof, gone. Geist runs standalone, and also prompts the user "If you exit now, all changes will be lost. Continue?" I did not receive that one either, so SONAR basically undid the insert synth and bypassed all of Geist's fail-safes in one go.
 
This may simply be an oversight since I am not sure I have any other synths that carry undo histories of their own, but is worth asking.

I think it does, I can't use CTRL+Z in Melodyne either. Or couldn't, it may have been fixed at some point. I think you have to enable the keyboard icon on the right top of the plugin screen to pass keystrokes to the plugin. I wish there was a way to auto-enable that for true "editing" plugins like Geist or Melodyne. I've tried to make a habit of using menu based undo.

Thanks for the response. I never really paid attention to this before, but realized I never hit ctrl-z before either. Giving all keystrokes to plugin just makes it ding (Windows error). Turns out, when inserted as a VST, the entire menu bar is stripped from the standalone application, so maybe it has no undo history as a VST anyway (I assume).
 
I never gave much thought to this before (no menus in host mode vs stand alone mode for VSTs), but it makes sense that with a host driving it that not all features are necessary.