With multiple cursors you are seeing the changes as you are editing. and you have all of the normal editing shortcuts at your disposal. Example, if you made a mistake while typing just hit undo.
Yes, no silver bullet. But most of my use case I find a generic pattern so I don't check the individual edits. Anything more complex I'll switch to macros.
Btw, I meant undo like global undo which will let you undo the last keypress for all of the cursors. In your case, you meant undo for a particular instance of change I guess.
Also, let's say there is different character after _
So in this case :'<,'>s/_b/B/c
That let's you step through every change and if something's wrong you can press ESC and u to undo only the last change.
It depends on the actual problem of course, but multicursor edits also get unwieldy if you're editing more than 2 or 3 lines.
What about if the lines are beyond the visible screen?