Do Windows metafiles support the CMYK color space?
No. Windows metafiles are basically recordings of Windows graphics commands. Windows GDI (Graphics Device Interface) solely uses an RGB color model, so any CMYK document/picture (e.g. from Adobe Illustrator) when saved as an EMF (or WMF) file would lose any CMYK information. If you plan to import the picture into another application that does support CMYK, consider using an intermediate format that does support CMYK (such as EPS, TIFF or JPEG) that is supported by the importing application.