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;