From books online:

The types of queries that are supported against linked servers depend on the level of support for transactions present in the OLE DB providers. OLE DB defines two optional interfaces for transaction management:

-ITransactionLocal supports local transactions in the OLE DB data source.
-ITransactionJoin lets the provider join a distributed transaction that includes other resource managers.

Any provider that supports ITransactionJoin also supports ITransactionLocal.

If a distributed query is executed when the connection is in autocommit mode, these rules apply:

-Only read operations are allowed against providers that do not support ITransactionLocal.
-All update operations are allowed against any providers that support ITransactionLocal.

You have to check with MySql to ensure its odbc driver supports ITransactionLocal.