You always need to check for XACT_STATE(), irrelevant of the XACT_ABORT setting. I have an example of a template for stored procedures that need to handle transactions in the TRY/CATCH context at Exception handling and nested transactions:
create procedure [usp_my_procedure_name]
as
begin
set nocount on;
declare @trancount int;
set @trancount = @@trancount;
begin try
if @trancount = 0
begin transaction
else
save transaction usp_my_procedure_name;
-- Do the actual work here
lbexit:
if @trancount = 0
commit;
end try
begin catch
declare @error int, @message varchar(4000), @xstate int;
select @error = ERROR_NUMBER(),
@message = ERROR_MESSAGE(),
@xstate = XACT_STATE();
if @xstate = -1
rollback;
if @xstate = 1 and @trancount = 0
rollback
if @xstate = 1 and @trancount > 0
rollback transaction usp_my_procedure_name;
raiserror ('usp_my_procedure_name: %d: %s', 16, 1, @error, @message) ;
end catch
end