One thing to remember is that this kind of undo-use is only possible when playing bots. If you start playing against humans in the future, don't expect to undo any moves except maybe obvious miss-clicks.
For this reason, playing with undo against bots may develop into a habit of not reading and relying on an undo to correct your mistakes. It may be difficult to unlearn this habit once you move from bots to human opponents.
My advice is actually to move to humans as opponents right away. I believe there is no reason why a beginner should start with bots instead of real opponents. Especially as you are already moving from 9x9 to 19x19. The small board teaches you valuable basic shape and fighting techniques (spotting ataris, basic cuts on the second line etc..) and in that area bots are good. But the whole strategic level of the 19x19 board is more difficult for bots. While bots have a decent playing strength on the bigger boards that shouldn't be confused with "playing good".
So my advice is, if you can you should start playing against humans, other beginners or stronger people who can review your game afterwards. You will learn much more from one game against a stronger human opponent (with review) than from ten games against a stronger bot.
If, for whatever reason, you can't play against humans (no club nearby, no stable internet connection) then don't rely on undo. Decrease the thinking time for the bot to speed up the game and play it like a game against humans, living with your mistakes and reading ahead to avoid them is part of the game after all.
Then after the game you can try out different variations or continue the game from a certain point with a different move. Playing and learning go can be pretty time-consuming but i think taking the shortcut of undos will do more harm than good - especially if you only play against bots.
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I haven't really played on KGS as I get nervous and would rather get my skills up a bit before I play online.
There is no reason to be nervous because you are too 'bad'. There are plenty of people of all playing strengths on KGS and that includes beginners and total beginners. Also what do you feel would be an adequate skill-level to play online? 25k? 20k? 10k? 1d?
This kind of thinking will get you nowhere. There is always so much to learn in go that this feeling of "i'm not really good" never really goes away. If that is your reason for avoiding KGS you may never get to play there.
Just log on, look for the beginners room (there is one) and for the beginning just chat or watch others beginners play. This should put you at ease and make it easier to actually play there as the next step.