It doesn't have one because Illustrator saves every action so you can just keep undoing. The history window in photoshop was used because it only had a limited amount of history states. If Illustrator had a history window, you would have hundreds or thousands of actions in that list. Just imagine if you are making a complex shape with the pen tool, every single point is saved so in making one shape you would have potentially dozens of actions, the history window would be made useless.