The functionality of querying multiple servers with a single query using CMS is a SSMS feature, not a SQL Server feature so it's likely not doable in the way you might be thinking. You can use your CMS to get a list of the servers to query in Powershell and use that to execute the same query against the servers instead of using a server list. That approach is explained in this article:
Central Management Server
Is there a reason you wouldn't just want a failed jobs report type of job on each of the servers? Having a job like that on your servers is fairly common.