SQL Multi-script supports Microsoft SQL Server databases only -- it currently doesn't have CE or ODBC capability. The theme of the article that you linked to was about how to retrieve backup history from a SQL Backup data repository, which is a SQL CE database, but is being accessed via T-SQL queries that are sent to a SQL Server.
These queries use the sqbdata extended stored procedure, which is getting the SQL CE data from the repository and feeding the results through the MS SQL connection.
So aside from querying SQL Backup activity history, this is not a method that you can generally use to connect to any CE database and query it.
I hope that this clarifies things.