Most of the time you should. But it depends on what you're wrapping. Exa is a good example of where MCP makes sense, it's not just one API call, it's 4 different tools (web search, code search, crawling, advanced search) plus embedded skills for chaining them. One MCP connection and the agent discovers all of that at runtime. Doing that with a CLI means building a multi-command script and hoping the agent figures out the orchestration.

On the other hand, something like context7 is just `npx ctx7 resolve <lib>` then `npx ctx7 docs <id>` — two stateless shell calls, done. No server to maintain, no protocol overhead. CLI is the right tool there.