I didn't know that SQL server transactions are by default connection-specific.
In my case, this means that I cannot include multiple Datatier with different connection handle in the same Begin -- End transaction block?


Yes.
For normal connection, you can have one exclusive transaction for connection,
and a connection can have only a transaction active
( only a ROOLBACK is supported ).

SQL Server have associate connections,
but for do this you must use
- sp_getbindtoken for get a token
- sp_bindsession for bind this connection to the other connection

Read BOL for more info.

A good mode is:
Open a connection with VFP shared flag,
define a SQL stantment for any Datatier transaction member.

Fabio