No it doesn't, it behaves exactly like discrete GPU would. The Vega M is connected to the Kaby Lake via standard PCIe x8 bus, only thing you really gain from the MCM is some space on the motherboard and apparently some power benefits from shared power supply to both chips instead of discrete ones for each.I kind of behaves like an APU for most intents and purposes, though.
Only MCM in near future that might behave like APU would be the fabled AMD Zeppelin + Greenland (Vega) -HPC-APU-thing, since it's supposed to have coherent 100 GB/s link between the GPU and CPU, but I think it starts to look like that project got buried.