The undo history is maintained after you save a file, as long as the file is open. Undo history is lost when the file is closed, or if you use the Checkpoint command to perform a final save. You can control whether undo is normally available after saving by using the Options > Preferences: Files dialog box.
It is possible to save a file, and then undo the few last edits. After that, the file saved on disk represents a state that has more edits than the current file buffer. This can become confusing. To help, Source Insight displays the file name with an asterisk whenever the loaded buffer differs from the file saved on disk. If you try to undo to a point before the file was saved, you will prompted to confirm you want to do that.