Previously, it was only possible to send custom commands to a server when connected over FTP. As of the latest 3.1 nightly builds, you can choose Go → Send Command… for SFTP connections which allows you to execute an arbitrary command on the server.
It is nevertheless still possible to conviniently open a proper shell with Terminal.app for the current working directory. Use View → Customize Toolbar… to add the Terminal.app button to your browser windows.
Note: This feature is meant for advanced users who are familiar with UNIX shells.
Try it out yourself using the latest available nightly build of Cyberduck.