Possible reason is the DTC coordinator is not running on all machines involved. In that case you need to start the Distributed Transaction Coordinator service. If this is the case the following exception is raised:

Unhandled Exception: System.Workflow.Runtime.Hosting.PersistenceException: 
MSDTC on server '<<your server name>>\SQLEXPRESS' is unavailable. ---> System.Data.SqlClient.Sql
Exception: MSDTC on server '<<your server name>>\SQLEXPRESS' is unavailable.