Yes ... your assumption is correct... MDX is used to extract data from cube as Tsql does for RDBMS... when you use excel as a reporting tool... excel generates xmla (xml for analysis services) and send it to analysis server. Server extract MDX embedded in XMLA and executes and returns results back to excel.
So coming to your question, it depends on reporting tool as well as method you have used. In Excel, you drag and drop measures and dimension in display area and tool generates MDX behind the scene.
In reporting services, if you use wizard then tool will generate MDX code which you can modify. If you dont use wizard, you can use your own MDX.
Hope i am not confusing you. Let me know if it is not clear.