I have just tested this using C# 2008, Sql Server 2005 using Code as below and it did rollback.
SqlConnection con = new SqlConnection("server=svr;database=db;uid=user;pwd=pw;Connect Timeout=900");
SqlCommand cmd = con.CreateCommand();
cmd.CommandType = CommandType.StoredProcedure;
cmd.CommandText = "MySp";
con.Open();
SqlTransaction trans = con.BeginTransaction();
cmd.Transaction = trans;
cmd.ExecuteNonQuery();
trans.Rollback(); // or trans.Commit()
con.Close();
Database code
CREATE TABLE [dbo].[TEST](
[Val] [int] NULL
)
ALTER PROCEDURE MySp
AS
BEGIN
BEGIN TRANSACTION T1
INSERT INTO TEST SELECT 1
COMMIT TRANSACTION T1
END