Recently I've been helping a number of "print" designers add Flash to their skill set. While Adobe did an admirable job of giving the CS4 versions of Flash, InDesign, InCopy, Illustrator, Photoshop, Fireworks, Dreamweaver and Bridge a common user interface, there are still many fundamental differences between the way Flash and the rest of the Creative Suite operate. This is apparent in the functionality of the Flash History panel, which operates quite differently than the History panel in Photoshop CS4.
To key to using the History panel in Flash is knowing where to click. To "back up" in time in Flash, you need to click to the left of the history step, in the gray bar on the left side of the panel. Or you can drag the slider up and down. Clicking on the name of the step like you do in Photoshop doesn't work.
An advanced feature of the Flash History panel is to use it to replay steps. In the example below, I've drawn a rectangle, then rotated, scaled, and skewed it. Then I selected a previously drawn rectangle, clicked on the Rotate step, and then command-clicked (Mac) or ctrl-clicked (Windows) on the Skew step. Next, when I click on the Replay button, the second rectangle will be rotated and skewed exactly like the first rectangle. Wouldn't it be great to see a History panel that behaves this way in a future version of Illustrator?
You may wish to make a couple of tweaks to your settings to make the Flash History panel work even better. First, in Preferences: General, consider bumping the number of Undo steps up to 300.
Second, in the History panel menu, choose View > Arguments in Panel. This will cause the dimensions of objects, rotation angle, etc., to be displayed in the panel.