There is no command (in the CLI or UI action) that would give the answer you want. Feel free to open up an Enhancement request on jazz.net.

A round-a-bout way of getting the answer you want would be roughly:
-If you care about the change sets in the 'main' stream for example,  right-click on the component and select "Show" --> "History".
-Then in the History view, mutli-select the first 'page' of change sets and invoke the "Locate Change Sets..." context menu action. (Note: this step and the steps below would have to be repeated for as many 'pages' of change set history as you want... or maybe you only care to go back through history up to a certain delivery date - which lines up with the start of a release for example)
-In the top section of the Locate Change Sets editor the change sets will automatically grouped by their associated work item. Change sets (and thus files) that do not have an associated work item will be grouped under a node called "x change sets with no work item".
-Expand this node and multi-select all the change set in this node and select the "Open" --> "Change Explorer".
-Now with the change sets in the Change Explorer view, expand the view menu drop down (down arrow icon) and select "Save Change Log". In the dialog, select "Filesystem changes" (and anything else you want) and press OK.
Now you have a text based summary of the files which are contained in change sets that are not associated to any work item.