Teiid does not yet have support for retrieving generated keys. You could use the TABLE GenerationType or some other method that doesn't require a side effect of the INSERT.
I'll create a JIRA to add support for generated keys that can be picked up by the Identity generation type.
Hi Steve, we're now using the select generator, although it is quite limited in that it doesn't support composite natural ids. We'll see if we can fix it somehow.