a) You can enable C-Z, C-X, C-V, C-C, etc. editing style by checking "Enable keybindings in menus" in Edit>Preferences>Edition>General
.
b) If you want only this particular binding to work, try with:
(keybinding "c:z" (lambda (editor evt) (send editor undo)))
You may need to restart DrRacket (not sure).