I had to make a similar decision as an undergrad when I applied for REU programs because the date by which I had to decline or accept my only offer was before I'd heard from several other places. I'm glad I went with the offer even though it was my last choice program because I'm 99% sure I would not have been accepted elsewhere.
FemaleScienceProfessor recently had a post about student responses (or lack thereof) to acceptance letters to undergraduate summer research programs. I fear that as an undergraduate I may not have responded to the offer I received while I was waiting to hear back from other other programs. I suppose that in my head, telling them that I was waiting to hear back from other places implied that their program was not my first choice (true, but not something I necessarily wanted them to know). Now that I am older and wiser, I see that FSP's advice is absolutely the right: say simply that you aren't sure yet but will respond by the deadline. I wish someone had told me that when I was in college. Listen up you undergraduate readers. I know from this survey that there are at least a few of you reading.
My student did just like FSP said and told me about the outcome of