So you are trying to use the custom scripts?: http://publib.boulder.ibm.com/infocenter/ledoc/v6r11/topic/com.ibm.websphere.dms.doc/dm/jobs_scripting.html
Custom scripts are designed to be executed against syncml/dm nodes, not general batch scripts.
I suggest you look at the run command job. It will allow you to execute a shell script on the desktop and capture the system out. It will not, however, deliver the script to the desktop. If you need to also deliver the script from the management server, you will need to wrap it in a feature, distribute it and then use the run command.