This is a known issue with a few of the remote powershell commands. its looking for the -identity which is designates a mailbox rather then the database.
( It typically throws an error that the identity cant be found if you run your command from remote powershell)
Running this same command on the Exchange Server directly as you have seen
https://github.com/MicrosoftDocs/OfficeDocs-Exchange/issues/764
The supposed way around this:
$dbs = Get-MailboxDatabase
$dbs | foreach {Get-MailboxStatistics -Database $_.DistinguishedName} | where {$_.DisconnectReason -eq 'Disabled'} | Format-List
DisplayName,MailboxGuid,LegacyDN,Database
However! Im not sure that really works either. I have run this in the past and it still doesnt produce results. I think its a bug in that command when run remotely to an Exchange Server.
If you find it still doesnt work, then run only on an Exch Server directly.
I dont think you are doing anything wrong necessarily, its just some bugginess. ( or by design haha)