To the best of my knowledge, it doesn't support mkv at all. It will transcode them, but not play them directly. I don't know this for sure, however.
Microsoft doesn't seem to care much about mkv. It is pretty much the one single thing that Windows 7 won't play natively.
I still find it strange, though, that you can play .mp4 in extender mode, but not .mkv. Neither are supported natively by Vista, both can be made to work in Media Center with the right codec/splitter, and both (typically) have the same H.264 video streams inside. There's no real difference between them on the computer, so why is there a difference on the Extender? Why does only one of them work?