using (var ts = Transaction.Open(TransactionOpenMode.New))
{
    var qqq = new DocEntity(Guid.NewGuid());

    using (CurrentSession.Pin(qqq))
    {
        using (var ti = Transaction.Open(TransactionOpenMode.New))
        {
            var qew = Query.All<Icon>().ToArray();

            ti.Complete();
        }
    }

    ts.Complete();
}

So, this code fails with

System.InvalidOperationException : Can not persist: there are pinned entities.

But I dont really understand, why do you persist here?

Moreover, we have a strange exception with this situation in our project:

Test(s) failed. Xtensive.Storage.StorageException : Error 'Unknown'. Original message: Cannot roll back s2. No transaction or savepoint of that name was found.
  ----> System.Data.SqlClient.SqlException : Cannot roll back s2. No transaction or savepoint of that name was found.
   at Xtensive.Storage.Providers.Sql.Driver.RollbackToSavepoint(Session session, SqlConnection connection, String name)
   at Xtensive.Storage.Providers.Sql.SessionHandler.RollbackToSavepoint(String name)
   at Xtensive.Storage.Session.RollbackTransaction(Transaction transaction)
   at Xtensive.Storage.Transaction.Rollback()
   at Xtensive.Storage.TransactionScope.Dispose()
   at Werp.Controller.Services.DocumentDataObject`1.StartOperation(DocumentOperation documentOperation, Guid documentId, ParameterBase parameter) in d:\BuildAgents\1\work\f27cc1092d3e1cc2\Werp.Controller.Services\DocumentDataObject.cs:line 257
   at Werp.Controller.Services.DocumentDataObject`1.StartOperation(Type operationType, Guid documentId, ParameterBase parameter) in d:\BuildAgents\1\work\f27cc1092d3e1cc2\Werp.Controller.Services\DocumentDataObject.cs:line 213
   at Werp.Controller.Services.DocumentDataObject`1.StartOperation(Type operationType, Guid documentId) in d:\BuildAgents\1\work\f27cc1092d3e1cc2\Werp.Controller.Services\DocumentDataObject.cs:line 74
   at Werp.Controller.Services.DocumentOperationBase`1.Exec[TOperation](DocumentBase doc) in d:\BuildAgents\1\work\f27cc1092d3e1cc2\Werp.Controller.Services\DocumentOperationBase{TDocument}.cs:line 84
   at Tests.Controller.Models.SampleDocDocumentOperation.Finish(OperationContext context) in d:\BuildAgents\1\work\f27cc1092d3e1cc2\Tests.Controller\Models\SampleDocDocumentOperation.cs:line 51
   at Werp.Controller.Services.DocumentDataObject`1.<>c__DisplayClass19.<FinishOperation>b__15(IDocumentOperation o) in d:\BuildAgents\1\work\f27cc1092d3e1cc2\Werp.Controller.Services\DocumentDataObject.cs:line 345
   at Werp.Controller.Services.DocumentDataObject`1.ExecuteOperationMethod(String operation, T[] documents, ParameterBase parameter, Action`1 func) in d:\BuildAgents\1\work\f27cc1092d3e1cc2\Werp.Controller.Services\DocumentDataObject.cs:line 531
   at Werp.Controller.Services.DocumentDataObject`1.FinishOperation(Guid documentId, ParameterBase parameter, IDictionary`2 values) in d:\BuildAgents\1\work\f27cc1092d3e1cc2\Werp.Controller.Services\DocumentDataObject.cs:line 345
   at Werp.Controller.Services.DocumentDataObject`1.FinishOperation(Guid documentId) in d:\BuildAgents\1\work\f27cc1092d3e1cc2\Werp.Controller.Services\DocumentDataObject.cs:line 283
   at Werp.Controller.Services.DocumentOperationBase`1.Exec[TOperation](TDocument doc) in d:\BuildAgents\1\work\f27cc1092d3e1cc2\Werp.Controller.Services\DocumentOperationBase{TDocument}.cs:line 55
   at Tests.Controller.DocumentTest.OperationExecutionTest() in d:\BuildAgents\1\work\f27cc1092d3e1cc2\Tests.Controller\DocumentTest.cs:line 45
--SqlException
   at System.Data.SqlClient.SqlConnection.OnError(SqlException exception, Boolean breakConnection)
   at System.Data.SqlClient.SqlInternalConnection.OnError(SqlException exception, Boolean breakConnection)
   at System.Data.SqlClient.TdsParser.ThrowExceptionAndWarning()
   at System.Data.SqlClient.TdsParser.Run(RunBehavior runBehavior, SqlCommand cmdHandler, SqlDataReader dataStream, BulkCopySimpleResultSet bulkCopyHandler, TdsParserStateObject stateObj)
   at System.Data.SqlClient.TdsParser.TdsExecuteTransactionManagerRequest(Byte[] buffer, TransactionManagerRequestType request, String transactionName, TransactionManagerIsolationLevel isoLevel, Int32 timeout, SqlInternalTransaction transaction, TdsParserStateObject stateObj, Boolean isDelegateControlRequest)
   at System.Data.SqlClient.SqlInternalConnectionTds.ExecuteTransactionYukon(TransactionRequest transactionRequest, String transactionName, IsolationLevel iso, SqlInternalTransaction internalTransaction, Boolean isDelegateControlRequest)
   at System.Data.SqlClient.SqlInternalConnectionTds.ExecuteTransaction(TransactionRequest transactionRequest, String name, IsolationLevel iso, SqlInternalTransaction internalTransaction, Boolean isDelegateControlRequest)
   at System.Data.SqlClient.SqlInternalTransaction.Rollback(String transactionName)
   at System.Data.SqlClient.SqlTransaction.Rollback(String transactionName)
   at Xtensive.Sql.SqlServer.Connection.RollbackToSavepoint(String name)
   at Xtensive.Storage.Providers.Sql.Driver.RollbackToSavepoint(Session session, SqlConnection connection, String name)