I have found that this function depends on the App to work. With Spectrum TV you need to use the << button. With DirecTV you need to use the up arrow to view "Recently watched" then press OK to select the last thing you were watching. When you do this again it goes back. I like this as I sometimes switch between 3 stations and this gives me the option to quickly do that.
I will agree a "Previous" button to switch between "Channels" in Roku terms (Apps to everyone else) would be nice to have so I could switch between Prime and Hulu. But that's not a huge issue with me. Within TV Streaming though it is very important.