Sql Service broker BEGIN DIALOG CONVERSATION and SEND. Should they be in a transaction?
You are correct that the BEGIN DIALOG CONVERSATION does not specify using a TRANSACTION for starting a Service Broker dialog. But many developers use them as a standard practice.

For example, the 2008 R2 TechNet page Beginning a Conversation and Transmitting Messages seems to recommend BEGIN TRANSACTION and COMMIT TRANSACTION (or ROLLBACK) as a good practice.

This topic Configuring Service Broker for Asynchronous Processing also shows transactions being used. 

These multi-step examples that use transactions do so for the same reason transactions are used in other code.  Namely to ensure either a complete transaction or else a rollback to a consistent state.

Of course, you can decide if your Service Broker dialog is simple enough that you do not need a transaction. But that is up to you to decide.