It drops into cmd, but it is configurable (and there's actually a Chocolatey community package for it that I believe prompts you for which default shell you want at install-time).
With PowerShell Core 6, we also support PowerShell Remoting Protocol (PSRP) over SSH as a transport, which means that you can do stuff like New-PSSession and Enter-PSSession without WinRM. (PowerShell just gets registered as a "subsystem" of sshd, same thing sftp-server does.) You can check that out here: https://github.com/powershell/powershell/tree/master/demos/S...
When I connect to a Windows box running an sshd, what exactly happens? Do I just get dropped into a command prompt or PowerShell session or what?