No, container will not throw an exception in this case, it will do the rollback and pass method results (or application exception) back to the caller.
That is what the spec says (section 184.108.40.206):
* The Container must ensure that the transaction will never commit. Typically, the Container instructs the transaction manager to mark the transaction for rollback.
* If the Container initiated the transaction immediately before dispatching the business method to the instance (as opposed to the transaction being inherited from the caller), the Container must note that the instance has invoked the setRollbackOnly() method. When the business method invocation completes, the Container must roll back rather than commit the transaction. If the business method has returned normally or with an application exception, the Container must pass the method result or the application exception to the client after the Container performed the rollback.