My GT3 RS works for GT4 and basically any other PS2 game, but it's got a bit of a trick to it. For whatever reason, the wheel will not work when started either in a PS2 game playing on my backwards-compatible PS3, or in the PS2 itself. But it will work if the wheel is already in PS3 mode before launching the game on the PS3. It works on the PS2 as well, but it needs to be put into PS3 mode on the PS3 and then you can switch the USB to the PS2 and it will work.
I didn't try this with every game on the PS2 proper, but that is how it worked on the one that wouldn't load on my PS3. GT4 works on the PS3 but has a lot of vibration in the video for some reason. So I'm hoping that the wheel will work with it if I do the same thing that I did with the game that wouldn't load.
I imagine this sort of solution isn't "recommended" of course, but whether it might cause a problem, who knows? I'm just glad I don't have to throw out all my old games.
No idea about Undercover, sorry.