From BOL: "If a marked transaction spans multiple databases on the same database server or on different servers, the marks must be recorded in the logs of all the affected databases." that means that YOU should set marks by BEGIN TRANSACTION @name WITH MARK.
Here the sample:
CREATE PROCEDURE sp_SetMark
@name nvarchar (128)
AS
BEGIN TRANSACTION @name WITH MARK
UPDATE coyote.dbo.Marks SET one = 1
COMMIT TRANSACTION;
GO
CREATE PROCEDURE sp_MarkAll
@name nvarchar (128)
AS
BEGIN TRANSACTION
EXEC instance0.coyote.dbo.sp_SetMark @name
EXEC instance1.coyote.dbo.sp_SetMark @name
EXEC instance2.coyote.dbo.sp_SetMark @name
COMMIT TRANSACTION;
GO