I just found out that on the remote server, the MSDTC setting is on "Mutual Authentication Required"; it should be on "No Authentication Required".
I will change it and restart the MSDTC and SQL services, and see if that fixes the issue:
begin distributed transaction
select * from LinkedSrvrName.dbName.dbo.tblName
rollback tran
Error:
OLE DB provider "SQLNCLI10" for linked server "LinkedSrvrName" returned message "No transaction is active.".
Msg 7391, Level 16, State 2, Line 4
The operation could not be performed because OLE DB provider "SQLNCLI10" for linked server "LinkedSrvrName" was unable to begin a distributed transaction.
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