$db->beginTransaction();

try {
  // Run an insert
  $model_record->insert(array('single_item' => 'its value'));

  // More logic, and run an update.
  $model_record->this_value = 'that';

  // Save it
  $model_record->save();

  //Commit the transaction
  $db->commit();
} catch (Exception $e) {

  // It finds the rollback, yet does nothing.
  $db->rollBack();
}

$this->_db->beginTransaction();

    // This works
    $this->_db->insert('table_a',
        array(
           'a_field' => 'transaction test',
        )
    );

    // This does not work, at all.  It inserts and does not rollback.  There is no commit.
    $_table_a_model->insert(
        array(
            'a_field' => 'transaction test',
        )
    );

    $this->_db->rollback();

$the_model = $this->_model->getAdapter();
$the_model->beginTransaction();