Hey,
Unfortunately ADF doesnt support transaction or roll back aspect as an in built functionality.
You would have to write your own custom logics or flows to ensure the rollback aspects.
Like in case if your sinks are 2 different tables within the same Azure SQL database, you can copy both into 2 staging tables and then use an SP activity which would have transaction to load both into final tables.
For other sinks, you can initially preserve the initial state of the sinks in some location and in case of any failure, revert the sink back to original state via the copy preserved.