Hi Ioakim,

Based on my research, to achieve a two phase commit between a DB2 database  and a SQL Server using linked server, you might need to configure the Non Transacted Updates option.

By default, SQL Server uses MSTDC (Microsoft Distributed Transaction  Coordinator) to ensure that any updates made to date in the third party driver are properly synced to SQL Server transactions. This is typically called a two phase commit. If your third-party does not support Distributed  transactions (this option is only available with OLE DB Providers, not ODBC  Driver), and you still want to allow updates and take the risk of SQL Server commits not being in sync with commits to you third party driver, then this option should be enabled.

Reference:
Using the SQL Server Linked Server Capability
How to create a SQL Server linked server to DB2


Thanks,
Lydia