Additonal Whiteboad Tools
But Wait, There's More: Look on the tool bar for additional Whiteboard Tools. It looks like a little double arrow.

3. Try This: Find the Undo
The Whiteboard is still open.
Go to Whiteboard->Additional Tools.

These Additional Tools include:
Undo (the Computer Mama's favorite)
Redo
Cut
Copy
Paste
Paste as Image
Deleted Selected Annotations
Delete All Annotations from This Page

Keep going...

Memo to Self: You can Save the Whiteboards as an XPS file if you wish.

Lync->Group Conversation->Whiteboard->Additional Tools