Does the ADO Entity Framework support COM+ transactions ?
Its not so much a case of COM+ support as "Can entity framework operations enlist into Enterprise transaction scope?" the answer is yes. EF does not need to be aware that the other operations in the transaction are via COM+. It merely has to conform to .NET support for distributed transactions. It just so happens that this is still done via MSDTC but thats more of an implementation detail the EF doesn't really need to know.
If you want to use something that "supports COM+" transactions in conjunction with something like Entity Framework you might find the EnterpriseServicesInteropOption enumeration helpful (particularly the Automatic value).
This is what I did to get WebSphere MQ to work with TransactionScope. MSDN has a helpful article here.