last move undo

Yes. The Play vs Computer option allows you to take back moves. Just use the move navigation arrows to move back a move, or more. Then make a new move.
If you are asking about the Live computer opponents, you can't there.

Isn't there a setting I can use to undo a mistake in a live game?
Not unless you're playing a Daily game that was started with the option: https://support.chess.com/article/590-can-i-take-back-a-bad-move