Development would have to respond on this, but the process in the Finder is two stages indeed. Also, Command-Z relates to an application, not the entire system. So Undo functions for the operations in that application (or doesn’t if an app doesn’t support Undo).
@BLUEFROG : maybe something to mention in the (very nice and extensive !) help / documentation, chapter about Import? E.g.
" If you hold the ⌘ Command key when you drag into DEVONthink, the file will be moved, not copied, into the database. Please note that an occasional Undo will not restore the the file to it’s original location."