You don't need to specify industry-reference, just specify the CVE number.
And yes, it should work exactly the same with the API, I just use the CLI because it's quicker to test.
[Expert@Mgmt:0]# mgmt_cli -r true show threat-protections filter "CVE-2007-4676"
protections:
- uid: "8fb870f1-f93a-e748-9683-f153943522f9"
name: "Apple QuickTime PICT Image Parsing Malformed Records"
type: "threat-protection"
domain:
uid: "41e821a0-3720-11e3-aa6e-0800200c9fde"
name: "SMC User"
domain-type: "domain"
from: 1
to: 1
total: 1