In SQL Server 2016, Distributed Transactions are only supported if the transaction is distributed across multiple instances of SQL Server. It is NOT supported if the transaction is distributed between different databases within the same instance of SQL Server. So in the picture above, if the databases are on separate SQL instances it will work, but not if the databases reside on the same instance which is more likely.
This seems like a half-finished job. We’ll see if Microsoft improves on this later.