Rolling Back A Transaction With MySQL Connector?

I have one multi-row INSERT statement (300 or so sets of values) that I would like to commit to the MySQL database in an all-or-nothing fashion. insert into table VALUES

(1, 2, 3),
(4, 5, 6),
(7, 8, 9);

In some cases, a set of values in the command will not meet the criteria of the table (duplicate key, for example). When that happens I do not want any of the previous sets added to the database. I've implemented this with the following code, however, my rollback command doesn't appear to be making a difference. I've used this documentation: http://dev.mysql.com/doc/refman/5.0/es/connector-net-examples-mysqltransaction.html

Dim transaction As MySqlTransaction = sqlConnection.BeginTransaction()
sqlCommand = New MySqlCommand(insertStr, sqlConnection, transaction)
Try

[code]....

I get the DUPLICATE KEY exception thrown, no Rollback Exception thrown, and every set of values up to duplicate key committed to the database.