We would utilize this message type when we need to reliably invoke a process, method, or procedure in another application. There is no specific message type for commands; it is simply a regular message that happens to contain a command.
For example, in JMS, the command message could be any type of message; an ObjectMessage that contains a Serializable command object or a TextMessage that contains a comm ObjectMessage containing a Serializable command object or perhaps a TextMessage that stores a command in an XML format.
In .NET, a command message is a Message with a command stored in it. For example, a Simple Object Access Protocol (SOAP) request is a command message.