Unlike Dr. Chisnall, I started my editor journey on Neovim, so it wasn't a transition that bit me. However, if the format of the persistent undo file is unstable, and Neovim just deletes it when it doesn't recognize the previous format, then it seems conceivable (to me) that an upgrade after changing the format would delete the file too.
Ouch. This is making me think about getting off of Neovim. Yes, FOSS comes as-is, but if there's an alternative...