This is what I found on EJB 1.1 specs:
From the client’s perspective, a RemoveException (or a subclass of RemoveException) indicates
that an application level error occurred during a remove(...) operation. If a client receives this
exception, the client does not know, in general, whether the entity object was removed or not. The client
also does not know if the transaction has been marked for rollback. (However, the client may determine
the transaction status using the UserTransaction interface.)
The Bean Provider throws the RemoveException (or subclass of RemoveException) from the
ejbRemove() method to indicate an application-level error from the entity object removal operation.
Optionally, the Bean Provider may mark the transaction for rollback before throwing this exception.
The Bean Provider is encouraged to mark the transaction for rollback only if data integrity would be
lost if the transaction were committed by the client. Typically, when a RemoteException is thrown, it
leaves the database in a consistent state, allowing the client to recover.
The Container treats the RemoveException as any other application exception. See Section 12.3.
Also another question now: How can I mark the transaction for rollback ?