No, it doesn't. I've already tried that, but as I mentioned, it tries to shut down (the remote) SQL server, which it cannot do.
Frankly, I don't understand why it should do that. Perhaps it's trying to copy the database file(s) instead of just reading the information from the old database and writing it to the new, which in my opionion would be the correct thing to do.
Judging by this behaviour, I would say that the function is intended only for moving from a local MSDE to a remote SQL.