If a macro or multiple-statement request contains multiple ROLLBACK requests, those requests are initiated in the order specified, even if the expressions can be evaluated immediately by the parser because the request does not access any tables. See Two Types of ROLLBACK Requests. However, the system can process ROLLBACK requests in parallel.
If the system processes the ROLLBACK requests in parallel, and one of the requests does roll back, then the system reports that rollback regardless of its specified sequence in the macro or multiple-statement request.
You can examine the EXPLAIN report for the macro or multiple-statement request to determine whether the system is executing the ROLLBACK requests in parallel or not.