All statements are atomic, either they complete successfully or they fail, so yes they maintain their own transactions internally to ensure that all work done by the statement either completes or none of it completes. That said, those do not register as open transactions because technically the transaction is managed internally by SQL Server. sys.dm_exec_requests only shows open explicit transactions of running sessions.
There are no special teachers of virtue, because virtue is taught by the whole community.
--Plato