[eluser]OverZealous[/eluser]
Auto-transactions (another legacy element from the original DM) only help within a single call to ->save(). If you are trying to save multiple objects, you need to manually manage transactions. There is no way for DMZ to know that you are trying to group multiple saves together otherwise.
If it was completely up to me, I'd dump the auto-transaction thing altogether, because it doesn't make much sense, or provide much benefit.
I never updated updated that page of the manual, so it doesn't say this. I probably should remove the section on auto-transaction eventually.