SSIS: Making an Informix transaction local doesn't work - ssis

Question

For a single SSIS task I'm trying to make its transaction local.
To simplify things, I'm trying to do it like this:
create the new package
create just one Execute SQL Task
inside that task I delete some rows from destination table and issue a ROLLBACK:
DELETE FROM SOME_TABLE WHERE SOME_COLUMN = 'ABCD';
ROLLBACK;
I create a new Connection Manager for that task (IBM Informix OLE DB Provider) and make sure it passes Test Connection
after adding the task, I change its TransactionOption property to Required
after that, I change the RetainSameConnection property of Connection Manager to True
As I understand, the task should start a local transaction without using DTC. However, this is the output when I run the package:
SSIS package "Package1.dtsx" starting.
Information: 0x4001100A at ROLLBACK: Starting distributed transaction
for this container.
Error: 0xC001402C at Package1, Connection manager
"xxx#yyy": The SSIS Runtime has failed to
enlist the OLE DB connection in a distributed transaction with error
0x8004D01B "The Transaction Manager is not available.".
Error: 0xC0202009 at Package1, Connection manager
"xxx#yyy": SSIS Error Code DTS_E_OLEDBERROR.
An OLE DB error has occurred. Error code: 0x8004D01B.
Error: 0xC00291EC at ROLLBACK, Execute SQL Task: Failed to acquire
connection "xxx#yyy". Connection may not be
configured correctly or you may not have the right permissions on this
connection.
Task failed: ROLLBACK
Information: 0x4001100C at ROLLBACK: Aborting the current distributed
transaction.
Warning: 0x80019002 at Package1: SSIS Warning Code
DTS_W_MAXIMUMERRORCOUNTREACHED. The Execution method succeeded, but
the number of errors raised (1) reached the maximum allowed (1);
resulting in failure. This occurs when the number of errors reaches
the number specified in MaximumErrorCount. Change the
MaximumErrorCount or fix the errors. SSIS package "Package1.dtsx"
finished: Failure.
Does anyone know what's happening here?