Management Studio is the glue that makes that work. To use SQL Server Agent you'd have to set up Target Servers manually as Thomas suggested, or add Linked Servers and manually loop through each server in your job step(s).
Note that your local CMS may have access to servers that your server might not (e.g. consider the scenario where most of your managed servers are in the data center, but you also have dev/test servers in the local domain - you can manage all of these from the client tools on your desktop but probably not from the data center).