Communicate with bluetooth module from Arduino Uno
I think the problem you're having is that you can't both talk to a device on the UART and talk to a terminal (your computer) at the same time using the same pins (0 and 1) of the Arduino. If you want to talk to your computer as well as a device you have to use a SoftSerial library (or NewSoftSerial) and wire the device to use different pins rather than the hardware UART... 

That being said, it seems plausible that the bluetooth module is prompting your for a command with the message "CMD". (misread question, this was what you expected, not what actually happened)