Speculating:
It may not be legal but technically it should be possible like in Shogun.
What happens when you connect to the STW-Lobby:
Your computer connects to an IP-Adress and using your keycode-data as authorisation logs into a specific port into the server. The connection will be held until you log out. If you want to connect to the Shogun fakeserver, you have to change the IP-Adress and the port number in one of the .txt-files. You're now calling a different private server. I'm not sure how this server has to be set up.
Let's assume for a moment that such a .txt-file exists in MTW (quite sure it's there) or RTW, then it would be possible to change that content, i.e. the IP-Adress the game connects to.
If you can make it work and use it to play against a buddy and both of you have a legal copy I cannot see how that should be prohibited? Not wanted maybe, but illegal?
Anyway no one would know what you're doing. There's no possibility to find out to whom you connect with what software.
With that said I'm of course not saying that you should try it. At the end you agreed not to by accepting the license agreement, didn't you?
Good Luck.

R'as