"send" mediator is asynchronous : inSequence will continue his job and JMS transaction will be commited before the response arrive in your JmsRoolbackSequence.
use "callout" mediator for synchronous calls and create a faultSequence in your proxy to deal with errors and rollback your transaction :
<faultSequence>
<property name="SET_ROLLBACK_ONLY" value="true" scope="axis2"/>
</faultSequence>