You can configure the http task with fail/handle status codes for the HTTP task and configure the for 4xx/5xx events. For fail, it will rollback the transaction and it will not persist anything. For handle, you can configure a boundary event and do process logic depending on your needs. Often the 5xx are configured as fail, while the 4xx are configured as handle.
Typically the execution in Flowable happens in one transaction and with that in one thread. When you use a parallel gateway it looks like that tasks are in parallel, however due to the single thread one request is executed after each other. Configuring "Execute Parallel in same transaction" means that it will start a separate thread for the HTTP request to ensure that multiple parallel elements are happening parallel. This is only relevant when you have a parallel gateway or in some other way two parallel HTTP tasks in the same transaction.