Transaction Count After EXECUTE Indicates That A COMMIT Or ROLLBACK TRANSACTION Statement Is Missing. Previous Count = 1, Current Count = 0.

With the function below, I receive this error:
Error:
Transaction count after EXECUTE indicates that a COMMIT or ROLLBACK TRANSACTION statement is missing. Previous count = 1, current count = 0.

Function:

Public Shared Function DeleteMesssages(ByVal UserID As String, ByVal MessageIDs As List(Of String)) As Boolean
        Dim bSuccess As Boolean
        Dim MyConnection As SqlConnection = GetConnection()
        Dim cmd As New SqlCommand("", MyConnection)
        Dim i As Integer
        Dim fBeginTransCalled As Boolean = False

        'messagetype 1 =internal messages
        Try
            '
            ' Start transaction
            '
            MyConnection.Open()
            cmd.CommandText = "BEGIN TRANSACTION"
            cmd.ExecuteNonQuery()
            fBeginTransCalled = True
            Dim obj As Object
            For i = 0 To MessageIDs.Count - 1
                bSuccess = False
                'delete userid-message reference
                cmd.CommandText = "DELETE FROM tblUsersAndMessages WHERE MessageID=@MessageID AND UserID=@UserID"
                cmd.Parameters.Add(New SqlParameter("@UserID", UserID))
                cmd.Parameters.Add(New SqlParameter("@MessageID", MessageIDs(i).ToString))
                cmd.ExecuteNonQuery()
                'then delete the message itself if no other user has a reference
                cmd.CommandText = "SELECT COUNT(*) FROM tblUsersAndMessages WHERE MessageID=@MessageID1"
                cmd.Parameters.Add(New SqlParameter("@MessageID1", MessageIDs(i).ToString))
                obj = cmd.ExecuteScalar
                If ((Not (obj) Is Nothing) _
                AndAlso ((TypeOf (obj) Is Integer) _
                AndAlso (CType(obj, Integer) > 0))) Then
                    'more references exist so do not delete message
                Else
                    'this is the only reference to the message so delete it permanently
                    cmd.CommandText = "DELETE FROM tblMessages WHERE MessageID=@MessageID2"
                    cmd.Parameters.Add(New SqlParameter("@MessageID2", MessageIDs(i).ToString))
                    cmd.ExecuteNonQuery()
                End If
            Next i

            '
            ' End transaction
            '
            cmd.CommandText = "COMMIT TRANSACTION"
            cmd.ExecuteNonQuery()
            bSuccess = True
            fBeginTransCalled = False
        Catch ex As Exception
            'LOG ERROR
            GlobalFunctions.ReportError("MessageDAL:DeleteMessages", ex.Message)
        Finally
            If fBeginTransCalled Then
                Try
                    cmd = New SqlCommand("ROLLBACK TRANSACTION", MyConnection)
                    cmd.ExecuteNonQuery()
                Catch e As System.Exception
                End Try
            End If
            MyConnection.Close()
        End Try
        Return bSuccess
    End Function