This is actually a good feature. But on dynamically linked systems, it's not always possible to simply rollback a package without affecting another.
For example, if you rollback firefox, that was compiled against a previous version of libjpeg, you also need to rollback libjpeg to have firefox working. But many other packages rely on it! so you'll end up rollbacking way more packages than expected.

This issue is indeed solved by statically compiled softwares, which is what I tend to prefer. There are drawbacks in static compilation too, but I think they outcome those of dynamic compilation.
That's another debate anyway.

I never had to use "yum rollback" before, so I don't know how dependencies are handled.