Some undead do heal at labs (Like Longdead Horsemen) and others don't. I don't know if it's a bug or if they don't have the special tag that lets them.

Knights of the Unholy Sepulchure heal as well. A good question is why don't they recover afflictions (Besides the standard balance issue).

I'd assume if an undead lost an arm, he could dig one out of a pile of bones and put that sucker back on if he's healing.