[Fantomen]

Yes they do, fatigue has the usual implications for criticals and so on.

But they don't get fatigued from fighting in melee. Some undead are also lifeless and immune to certain fatigue causing effects like life draining. Most undead are also cold immune and therefore immune to a number of additional fatigue effects but that's due to cold immunity rather than being undead.

So in practice undead can often be treated as immune to fatigue but IF they do get fatigued from spells or otherwise they suffer from it like all other units.

0 enc commanders, usually undead or lifeless, can wear armor without increasing melee encumbrance but they still suffer the extra fatigue for spellcasting and the reduced movement.