I once did this long ago.
It was not possible to dock the windows console within a c/cpp app, but it was possible to start a hidden console to scrape and insert to the console buffer; then presenting that info to a text window enbedded in the c/cpp app.
It was not easy or entirely stable. I wouldn't try to do it again.
It would be more dependable to allow the user to read and write to a text window, execute the user commands via something like wxExecute("cmd /c whatever") and pipe the stdin/stdout to the text window.