Microsoft introduced a new feature in Exchange Server 2013 CU11 called Mailbox Anchoring. This means that an Exchange Management Shell will no longer connect to the Exchange Server 2013 you are logged on to, but it will be proxied to the Exchange Server hosting your mailbox.

The Connect-ExchangeServer cmdlet can be used to connect to a specific Exchange Server to execute further cmdlets on the intended Exchange Server.

Microsoft removed Mailbox Anchoring in Exchange Server 2013 CU12.