It would work fine if the target filespec, "C:\VM\MIAME\CACHE\filename.jpg" in this case, was visible from the machine where the A-Shell session was running. But LOOKUP doesn't know anything about ATE and can't therefore look up files that are only visible to the ATE client.
The solution to that is to use
MX_FILESTATS (with the loc'rec parameter set to C). Note that C looks automatically in the cache directory, so it wouldn't be necessary to even specify the path.