Currently it's not supported indeed, as in: call adapter.SaveEntity(), and you'll get back a signal when it's done.
You can work around this though: use a workerthread to do the persistence logic for you. Like in the scenario of MSMQ: the queue in that scenario then isn't part of the persistence logic call chain, just the end of the queue, where the persistence logic starts. COM+/Enterprise services then controls the complete transaction, thus MSMQ, LLBLGen Pro code at the end of the queue and the caller to MSMQ.