It's been a well-known limitation for a long time. When you connect to a SAS session using SAS Enterprise Guide, shell commands (including X command, SYSTASK, and FILENAME PIPE) are off-limits because the default SAS invocation disables them. It does this by including -NOXCMD as a command-line option.
This makes perfect sense when working with a central SAS server that many people will access; it's not always prudent to allow the masses to have programmatic access to the OS shell of a shared resource. But it makes less sense when SAS is running on your own desktop, where you typically have full access to shell commands in other contexts (such as within the Start menu, or in a command prompt window).
At least, that's what many SAS customers thought. And at SAS, we agreed. That's why beginning with SAS 9.3, the -NOXCMD option is no longer used as part of the default registered SAS command. Put another way, shell commands such as XCMD, SYSTASK, and FILENAME PIPE are now allowed. This affects only SAS for Windows, and only the case where you use a client such as SAS Enterprise Guide to launch a local SAS session.
If you are still using SAS 9.2, or if you want to change your local SAS command to customize a few options, you can do so by changing the registered SAS command. Visit this blog post for instructions about how to alter your SAS command. There's even a link to a tool that can help you.