Please help I am trying to catch exceptions in a store proc and roll back

I don't see an END CATCH anywhere, so that's going to be a problem.

Also, you're not throwing an exception anywhere for the TRY block to catch. Just failing an IF statement does not throw an exception.

Frankly, I don't see anything here that even requires a TRY/CATCH. The "false" side of your IF statement could raise an error returned to the caller.

Your SP has syntax errors and should not compile. I have made a couple of changes in your SP to get it in a working condition but you need to understand that your SP has logical errors.

ALTER  PROCEDURE [dbo].[SendSMS_TestMark]
    @EntityID INT , --PolicyID
    @Mobile VARCHAR(11) ,
    @Message VARCHAR(480) ,--What Needs to be send Text
    @ScheduleDateTime DATETIME , --Same date sync
	@DateCreated DATETIME, --Same date sync
    @ProjectID INT -- ClaimType and message type 
AS
BEGIN TRY 
	BEGIN TRANSACTION
		IF LEN(@Mobile) <= 10 OR (LEN(@Mobile) >=10 )
			PRINT 1
			INSERT  INTO Media_QA.Multimedia.SMS
					( fkEntityID ,
						C_EntityType ,
						Mobile ,
						Message ,
						ScheduledDateTime ,
						DateCreated ,
						fkProjectID
					)
					SELECT  @EntityID ,
							776 , --Policy
								@Mobile,
							@Message ,
							@ScheduleDateTime ,
							@DateCreated ,
							@ProjectID
						
						
	COMMIT TRANSACTION
END TRY
BEGIN CATCH 
	IF @@TRANCOUNT > 0 
            ROLLBACK TRANSACTION; 

	RAISERROR ('Invalid Mobile: Mobile number must be 10 digits', 16,2 )
END CATCH; 

Lastly As @Dave mentioned, your SP does not require Transaction in the first place because a single insert is already atomic. You need to get a better understanding of transactions.

Let's modify your SP, doing the necessary corrections.

CREATE OR ALTER  PROCEDURE [dbo].[SendSMS_TestMark]
    @EntityID INT , --PolicyID
    @Mobile VARCHAR(11) ,
    @Message VARCHAR(480) ,--What Needs to be send Text
    @ScheduleDateTime DATETIME , --Same date sync
	@DateCreated DATETIME, --Same date sync
    @ProjectID INT -- ClaimType and message type 
AS
BEGIN
	IF LEN(@Mobile) = 10
	BEGIN
		INSERT  INTO Media_QA.Multimedia.SMS
					( fkEntityID ,
					  C_EntityType ,
					  Mobile ,
					  Message ,
					  ScheduledDateTime ,
					  DateCreated ,
					  fkProjectID
					)
					SELECT  @EntityID ,
							776 , --Policy
							 @Mobile,
							@Message ,
							@ScheduleDateTime ,
                        @DateCreated ,
                        @ProjectID
	END
	ELSE
	BEGIN
		RAISERROR ('Invalid Mobile: Mobile number must be 10 digits', 16,2 );
	END
END