Detecting Orphaned Users
That might've been a little bit of poor wording on Microsoft's part but basically what they meant is run that query in the context of the database which you want to check if there are Orphaned Users for. So which ever database you run it under, it'll tell you only for that database of there are Orphaned Users.
They clarify that slightly, just below the example query they provide in the article you linked:

The output lists the SQL Server authentication users and corresponding
security identifiers (SID) in the current database that are not linked
to any SQL Server login.

So if you have 3 databases on your server, for example, then you'd need to run that query 3 times (once in the context of each database) to verify for all of them.