At best, WindowBlinds can only skin what is there. It can't add any features to your command prompt, like backgrounds, transparency, or fonts. You would be better off using a third party program for that (I like eConsole), which WindowBlinds may have an easier time skinning.
I am using the latest build, and my command prompt is skinnned. However, that checkbox does say "Skin Console Windows (UIS1 only)", meaning that it should only work with UIS1 skins, of which there aren't a lot. UIS1 is a more widely compatible skin format, but it also has limitations, which is why most people choose to make UIS2 skins. I'm using a UIS2 skin now and my command prompt is skinned, but I suspect that it might not be fully supported and may cease to work in the future.