No, "under-" means "below some baseline". If that baseline is objective (e.g. "the mean development of the most developed country") then "underdeveloped" is objective, just relative.
It seems appropriate to me to describe a slum with poor roads and power as underdeveloped, but weird to describe wilderness as underdeveloped. The former brings to mind philanthropic NGOs, the latter, villains from popular pro-environmentalism fiction.
It seems weird to me to refer to wilderness as "underdeveloped", but more because if it really is a wilderness then it should be undeveloped. If someone starts building things in it but few enough that the zone can be called "underdeveloped" then it's no longer the wilderness. In any case, what the original person said was that the country was underdeveloped. If there's not even a single road or rail between it and its neighbor, I'd say that's a fair assessment.