Correct, CMD does not support MTP devices. Windows Explorer and a few other programs (Total Commander has a plugin for it, I think) can access MTP, but CMD only supports things that can be specified by UNC, and that doesn't include MTP.
EDIT: it's possible to actually run CMD on your phone, and access it using Telnet. You currently have to use an app sandbox (the CMD binary isn't signed, so far as I can tell, and therefore can't be run outside a sandbox) so the privileges are pretty limited even with capability-unlock and are minimal without it, but it's possible nonetheless.