You can do both: if you use the Service pub.sap.client:createTID, you can obtain a TID from the SAP system. By default the SAP Adapter generates a TID locally. (At least in the SAP Business Connector. Not sure about webMethods.)
But in any case: it’s only a GUID, doesn’t matter much whether it’s generated on SAP side or inside the integration server. In both cases you can track the status of the TID on SAP side by looking at one of these two DB tables:
ARFCRSTATE (if a tRFC is sent from the Adapter into the SAP system)
ARFCSSTATE (if SAP sends a tRFC to the Adapter)
In both cases the TID and corresponding status information is deleted from these tables, when the sending side performs the “Confirm TID” step. E.g. pub.sap.client:confirmTID, if the Adapter is the sending side.