AFAIK it records multithreaded applications on multiple threads and CPU, rr records them on a single OS thread, AFAIK. Not sure about replay. Never used undo though, so not sure how much better it is.
rr does support multithreaded and multi-process applications, via, like Undo[1], allowing only a single thread to run at a time. (edit note - that's only about multithreading; Undo might have parallel multi-process recording)
[1]: https://undo.io/resources/undo-performance-benchmarks/ - "Undo serializes their execution"