As it turn out this is an intentionally not supported scenario at the moment. If we read the docs for the ReceiveActivity we can find the following note:
To ensure that persistence performs properly and does not persist transient messages, make sure that child activities of the ReceiveActivity do not persist by themselves. This can occur if the child activities go idle when a persistence provider was created with UnloadOnIdle set to true, for instance.
The note uses the UnloadOnIdle as an example but the persistence part is just as much true for the TransactionScopeActivity as this persists the state. Of course there is no similar warning in the TransactionScopeActivity docs [:(] and the activity validation fails to warn us either so there is definitely some room for improvement here.
But rumor has it that this improvement is coming [:)] The rumor says that not only will we be able use a TransactionScopeActivity inside of a ReceiveActivity but we can even go a step further in being able to flow a transaction from the client through the WCF request into the workflow and have the TransactionScopeActivity participate in the same transaction. Nice but I guess we will have to wait for the PDC before we get all the details.