I would like to know if we can setup rollback feature on Pega Deployment Manager
Deployment manager leverages the platform rollback feature which until 8.3 was doing a rollback to a previous restore point created in the database. This would rollback any deployments done post the first restore point created by deployment manager as part of its deployment. So if there are parallel deployments all of them would get rolled back.
Starting from 8.4 version of platform though there is an application level rollback feature, which rolls back only one application changes, so if parallel deployments were to happen for different applications in 8.4 then rollback would only rollback deployments to the specific application.