I’d have rather heard Southbound over Undo It… but I don’t think there is rhyme or reason. She actually only played Cry Pretty during her Amazon Prime concert too from the album of the same name.
There can be many reasons for that:
1. She already has too many fun songs (LN, BHC, GG, CC) and if she had to pick any one between them and SB, I believe it's those. SB was not bigger or more memorable than them at all.
2. Despite being her only #1 from the CP era, DA was way more impactful, adds more versatility and was an absolute highlight in comparison, therefore DA has been included along with the lead single in setlists.
3. I just think it straight up does not make sense to perform a song called Southbound in Vegas. If this was a Nashville or Texas residency, I could have argued for it.