It does not seem to work. I sent an email to myself, immediately hit undo. It told me that the action was undone, but there was a new email sitting waiting for me.
I think there is a shortcut when you email yourself (even if you email to an account that gmail is POP accessing rather than the gmail itself, it will appear immediately) - perhaps this circumvents the undo.
Yep, in fact this is especially noticeable in situations when your GMail is not working for whatever reason. Once, I had my GMail account temporarily disabled for a day (I set up some filter that immediately deleted and forwarded certain e-mails which apparently got triggered too many times and caused a temp shutdown) but was still able to send e-mails to myself.
Lesson here is, if you use GMail, don't e-mail yourself to check if sending works at the moment.