RZX rollback is a feature introduced by the SPIN team, to help produce better walkthrough recordings.
If you get to a tight spot, just press a key to roll back to an earlier point, and continue recording.
The following emulators support rollback: SPIN, FUSE, Spectaculator and SpecEmu.
Is it cheating?
It would be if this were a competition site, like the Speccy Tour. The RZX Archive is a "demonstration" site; to show how speccy games are completed.
I seriously doubt that this site would contain recordings of classic games such as Technician Ted and Auf Wiedersehen Monty, without the implementation of this feature. They are just too difficult to complete in one sitting, especially the former.
Even with rollback, completing games isn't always a walk in the park. It just makes the game 'do-able', even if it takes a few days. And it's great fun!