If you get the error/warning: Warning: Some non-transactional changed tables couldn't be rolled back when trying to do a ROLLBACK, this means that some of the tables you used in the transaction didn't support transactions. These non-transactional tables will not be affected by the ROLLBACK statement.
The most typical case when this happens is when you have tried to create a table of a type that is not supported by your mysqld binary. If mysqld doesn't support a table type (or if the table type is disabled by a startup option) , it will instead create the table type with the table type that is most resembles to the one you requested, probably MyISAM.
You can check the table type for a table by doing:
SHOW TABLE STATUS LIKE 'table_name'. See SHOW TABLE STATUS.
You can check the extensions your mysqld binary supports by doing:
show variables like 'have_%'. See SHOW VARIABLES.