Actually, it behaves exactly as it was supposed to. XACT_ABORT
really caused the transaction to roll back, so were there any data modifications up to the point of the error they will be rolled back. However, it didn't affect the flow of execution, and it didn't stop running the stored procedure, so the following two DELETEs were executed as implicite transactions. Explicit RAISERRORs don't abort the batch.
See this simplified version:
create table #t(i int);
insert #t values(1);
go
alter procedure sp
as
set xact_abort on
begin tran
raiserror ('x', 16, 1);
print 'deleting';
delete #t;
commit;
go
exec sp
go
select * from #t
go
The only funny thing was that the error about COMMIT not having a corresponding BEGIN TRAN was swallowed.
With SEH, it would jump into CATCH block.