If you are looking for something with Transactional Support, I don’t think you’d need a parallel action shape. You can just use a single Atomic Scope with the items in sequence.
I think you should use a BizTalk Send Port to send your file. I don’t think you can have a transaction around writing a file to the file system (without having a custom process to delete it).
You should be able to get a transaction around your database and the send port to send the file with little effort.
So, basically I’d remove the parallel action and focus on getting it to work inside a single Atomic Scope.
Hope this helps.