I know quite a bit about ZeroMQ, but not a lot about the database servers you mention.
First, you're a bit confused about ZeroMQ. Although it is derived from experience with AMQP, it uses the ZMTP wire protocol. That was custom designed during ZeroMQ development [but other applications do now use it].
ZeroMQ is a small and very fast MQ library that is symmetrical for all nodes; it is very good for small apps. The problem here is that you need something on the other systems that talks ZMTP, whether it's ZeroMQ or a bridge. If you intend making plugins or the like for the other systems then fine.
I presume though, that you are using JMS to talk to the other systems without intending to develop add-ons for them. In which case you're probably stuck with JMS. Kafka is a new one that I haven't caught up with, but RabbitMQ is a good, fast, and small, broker. FWIW. There are a great many broker comparisons out there for you to find. Many are dodgy in the sense that one small tweak of a setting can affect the performance greatly and are not necessarily comparing apples with apples. If want to compare broker performance in your environment, there isn't much of a shortcut to doing it yourself.
One thing that is confusing me is how you expect a broker to help your rollback performance. You'll still need to do the rollback in essentially the same manner, albeit asyncronously via the broker.