If you want to bind VM and JMS in the same transaction then you should be using <xa-transaction>
Retry policy on the connection are for connection retry and not for transaction retry, therefore retry policies will not result in the message being retried.
<service name="sendMessage">
<inbound>
<vm:inbound-endpoint address="vm://sendMessage">
<xa-transaction action="ALWAYS_BEGIN"/>
</vm:inbound-endpoint>
</inbound>
<outbound>
<pass-through-router>
<jms:outbound-endpoint queue="Queue/destination">
<xa-transaction action="ALWAYS_JOIN"/>
</jms:outbound-endpoint>
</pass-through-router>
</outbound>
</service>
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