Using county lines to demarcate CMSA's is necessarily somewhat imprecise. Development and commuting patterns, not to mention spheres of economic influence, frequently don't follow county lines. For instance, the southern part of Dutchess County, up to and including Poughkeepsie, can reasonably be considered part of the New York CMSA, but the case is considerably weaker with respect to the northern part. But the Census Bureau doesn't recognize any borders other than county lines (except possibly in New England), so all of Dutchess is included.
The most extreme example can be found in California, where the Los Angeles CMSA includes all of Riverside and San Bernardino counties, nothwithstanding the fact that both huge counties include long stretches of desert all the way to Arizona and Nevada.