Why we need to set mailnickname for Hiding users from Global Address List (GAL)?

The reason you need to first set an alias/mailnickname value is because of the default rules in AAD Connect. Without this property, the object will not be recognized as an Exchange recipient, and thus all Exchange related rules will be skipped. In turn, this means that in order to update any Exchange-related property via AAD Connect, you need to have mailnickname populated.

Please confirm whether the disabled mailbox can be returned with the following command:

Get-User -ResultSize unlimited | where {$_.UserAccountControl -eq 'AccountDisabled,NormalAccount' -and $_.RecipientType -eq 'UserMailbox'}  

If it works, please run the following command to meet your requirement:

Get-User -ResultSize unlimited | where {$_.UserAccountControl -eq 'AccountDisabled,NormalAccount' -and $_.RecipientType -eq 'UserMailbox'} | Set-Mailbox -HiddenFromAddressListsEnabled $true

Hi @Eaven HUANG ,

I was in the impression that we need to firstly set the value of mailnickname for that user before setting the msexchhidefromaddresslists=$true.

Yes, it's true and below is an official article with some explanation for reference:
Changes to msExchangeHiddenFromAddressList attribute not updated against recipient object in Exchange Online

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