With multiple cursors you are seeing the changes as you are editing. and you have all of the normal editing shortcuts at your disposal. Example, if you made a mistake while typing just hit undo.
So in this case :'<,'>s/_b/B/c
That let's you step through every change and if something's wrong you can press ESC and u to undo only the last change.
It depends on the actual problem of course, but multicursor edits also get unwieldy if you're editing more than 2 or 3 lines.
What about if the lines are beyond the visible screen?
Btw, I meant undo like global undo which will let you undo the last keypress for all of the cursors. In your case, you meant undo for a particular instance of change I guess.
Also, let's say there is different character after _
foo_bar -> fooBar
baz_car -> bazCar
some_thing -> someThing
However, you can use a macro.