Database User not reported as orphaned after Windows login dropped
Thomas has explained why that stored procedure isn't capturing orphaned Windows users, but here is how you can check:

SELECT p.name 
FROM database_name.sys.database_principals AS p
WHERE [type] IN (N'U', N'G')
AND NOT EXISTS
(
  SELECT 1 FROM sys.server_principals AS sp
    WHERE sp.sid = p.sid
);


If you need to do this for all databases, you can generate this dynamically, e.g.

DECLARE @sql NVARCHAR(MAX) = N'';

SELECT @sql += N'SELECT ''' + db.name + ''',p.name
  FROM ' + QUOTENAME(db.name) + '.sys.database_principals AS p
  WHERE [type] IN (N''U'', N''G'')
  AND NOT EXISTS
  (
    SELECT 1 FROM sys.server_principals AS sp
    WHERE sp.sid = p.sid
  );'
FROM sys.databases AS db
WHERE [state] = 0;

EXEC sp_executesql @sql;