Hi, Undo.RecordObject works as intended. However there is a bug in your code.
What happens is when "Test" is clicked and _performTest = true is set, the if(_performTest) will occur up until there is no more objects left, and then _performTest is set to false.
If you instead separate Do and Undo into to different buttons the issue goes away.

This code should work for you:
if(GUILayout.Button("Setup"))
{
component.Integers = Enumerable.Range(0, 10).ToList();
}

if(GUILayout.Button("Do"))
{
if(component.Integers.Any())
{
Undo.IncrementCurrentGroup();
Undo.RecordObject(component, "Test");

component.Integers.RemoveAt(component.Integers.Count - 1);
Repaint();
}
}
if(GUILayout.Button("Undo"))
{
Undo.PerformUndo();
}