Many systems support distributed transactions; that is, transactions that span multiple connections. Distributed transactions are at least four times slower than normal transactions due to the logging and network input/out needed to communicate between all the components involved in the distributed transaction (the .NET data provider, the transaction monitor, and the database system).
Distributed transactions should be used only when transactions must span multiple DBMSs or multiple servers. Unless they are required, avoid using distributed transactions. Instead, use local transactions whenever possible.