about transaction rollback

That depends on the type of strategy you are using to handle the transactions.

the code is something like:

try {
   ...
   $a->setTransaction($t);
   $b->setTransaction($t);

   if (!$a->save()) {
      $t->rollback();
      /*
      Do I need add return or throw new Exception(); here to exit current follow and goto finally block?
      */
   }

   if (!$b->save()) {
      $t->rollback();
      /*And here*/
   }
   $t->commit();
}
catch (Exception $e) {
   ...
}
finally {
   ...
}

According to the docs if you use TransactionManager you can catch Phalcon\Mvc\Model\Transaction\Failed $e exception:

<?php

try {
   use Phalcon\Mvc\Model\Transaction\Manager as TransactionManager;

   $transactionManager = new TransactionManager();

   $transaction = $transactionManager->get();

   $robot = new Robots();

   $robot->setTransaction($transaction);

   $robot->name       = "WALL·E";
   $robot->created_at = date("Y-m-d");

   if ($robot->save() === false){
       $transaction->rollback("Can't save robot");
   }

   $robotPart = new RobotParts();

   $robotPart->setTransaction($transaction);

   $robotPart->type = "head";

   if ($robotPart->save() === false) {
       $transaction->rollback("Can't save robot part");
   }

   $transaction->commit();
} catch (Phalcon\Mvc\Model\Transaction\Failed $e) {
   echo "Failed, reason: ", $e->getMessage();
}

Source: https://docs.phalcon.io/en/3.2/api/Phalcon_Mvc_Model_Transaction_Manager