Hi Álvaro,
You cannot see the .cmd scripts because they are not included in Linux systems. You should see them when you install Wazuh in a Windows machine. The ossec-tweeter.sh script can send an alert to Twitter by giving your username and password, also you can set the variable DIRECTMSGUSER in order to send a specific message to someone.
Regarding the kaspersky question, the bash script (.sh) runs the python script (.py), which is in charge of running scans for your computer, you can configure it to scan a custom folder, your memory, etc. This is an integration with Kaspersky, which is a software dedicated to cybersecurity and protecting your computer from malware and virus. Let me know if this helped and solved your doubts.
Kind regards,
Cristina