This has noting to do with undertow or jboss-web for that matter.
But with RemoteHostTrustLoginModule, in any case if that used to work, it should still work.
What was the last version this worked for you?
I can assure it worked in 6.0. In 6.0 org.jboss.web.tomcat.security.RemoteHostValve was used to call org.jboss.security.plugins.HostThreadLocal#set.
In 8.1 ist doesn't work and looking at the source RemoteHostValve is (of cause) gone und HostThreadLocal#set doesn't seem to be called anywhere. At least it isn't called directly in any class and debugging doesn't step into this method.
I am looking at code of AS7.x / EAP 6.x where there is jboss-web still used and I don't see call to HostThreadLocal#set being done as well.
Please create jira for this in WildFly - JBoss Issue Tracker so we can take a look.