Using .Net TransactionScope with IBM XMS

Question

Can I use TransactionScope when accessing IBM MQ with XMS? I have this test code:

               var context =
               new InitialContext(
                   new Hashtable
                   {
                        { "XMSC_IC_URL", "XXX" },
                        { "XMSC_IC_SECURITY_AUTHENTICATION", "none" },
                   });

                var connectionFactory = (IConnectionFactory) context.Lookup("XXX");
                    connectionFactory.SetStringProperty("XMSC_WMQ_CONNECTION_MODE", "5");
                    connectionFactory.SetStringProperty("XMSC_WMQ_SSL_CIPHER_SPEC", "TRIPLE_DES_SHA_US");
                    connectionFactory.SetStringProperty("XMSC_WMQ_SSL_KEY_REPOSITORY", "XXX");

                try
                {
                    using (var scope = new TransactionScope())
                    {
                        using (var connection = connectionFactory.CreateConnection())
                        {
                            connection.Start();
                            using (var session = connection.CreateSession(true, AcknowledgeMode.SessionTransacted))
                            {
                                using (var queue = session.CreateQueue(queueName))
                                {
                                    using (var consumer = session.CreateConsumer(queue))
                                    {
                                        var message = consumer.Receive();
                                    }
                                }
                            }
                        }

                        throw new Exception();
                        scope.Complete();
                    }
                }
                catch (Exception)
                {
                }

He will make receipt (confirmation) of the message, despite the exception. What for? If I comment on all lines with a scope and a line with an exception, the message will remain in the queue. Why does using a transaction scope confirm a message in case of failure?