you have to qualify the database in the query with a ?. you can also load the result into a table to make them searchable

CREATE TABLE #tmp(dbname VARCHAR(256),username VARCHAR(256))

INSERT #tmp EXEC sp_MSforeachdb 'select ''?'',name

from [?].sys.database_principals

where type in (''S'',''G'',''U'')

and name not in (''dbo'',''guest'',''sys'',''INFORMATION_SCHEMA'',''##MS_PolicyEventProcessingLogin##'')'

SELECT *

FROM #tmp