It's cntrl-z/cntrl shift-z for undo/redo...
1. Open a script in the Script Editor.
2. Alter the file (like add a space at the end of a line).
3. Click the Check Brackets button, or one of the other options that Wims has said.
4. Click Edit, and you will see that the Undo/Redo are disabled. Same goes with CTRL+Z and CTRL+Y.
Also, no such thing as CTRL+SHIFT+Z