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?
Of course it is, but this isn't a competition site like the Speccy Tour. The RZX Archive is a "demonstration" site; to show how speccy games can be completed.
I seriously doubt that this site would contain recordings of classic games such as Technician Ted and Aliens (UK version), without the implementation of this feature. They are just too difficult to complete without using POKEs.
Even with rollback, completing games isn't always a walk in the park. It just makes the game 'do-able'. Unlike today, many games back in the day were designed NOT to be completed.