Most Android shell commands, including the am command, require `shell` privileges. Unfortunately, the MDM app doesn't have these permissions, so in your case the am command will fail.
Headwind MDM doesn't have an option to open a specific package activity.
To open different activities of your application, use intents (recommended by Android) instead of explicitly specifying the activity names. To send an intent to your app, use the runApp command (more details here).
Here's how to declare an intent: https://qa.h-mdm.com/17252/