А вот и BOL говорит о том же
"Naming multiple transactions in a series of nested transactions with a transaction name has little effect on the transaction. Only the first (outermost) transaction name is registered with the system. A rollback to any other name (other than a valid savepoint name) generates an error. None of the statements executed before the rollback are in fact rolled back at the time this error occurs. The statements are rolled back only when the outer transaction is rolled back.
"
BOL - Transact-SQL Reference - BEGIN TRANSACTION