As told to me by Fred Walker many years ago, (yes, THE Fred Walker), the reason for undercoating was two fold...to eliminate water wicking its way into the body and as Phil mentioned, causing the paint to bubble, and also to help reduce drumming - where the body would resonate at speed. I've never experienced the latter...I'm too afraid to go that fast in my Darrin, but I can see the former being an issue.
Personally, no undercoating is just fine by me. I'll do my best to keep my Darrin dry!