Update: behavior described in this blog post has changed in later Cumulative Update; please see Remote PowerShell Proxying Behavior in Exchange 2013 CU12 and Exchange 2016.
Coming to the next CUs ...
Updated Jul 01, 2019
Version 2.0
Blog Post
Having seen this in action, it is bound to confuse customers who create their first Exchange server (in a recent client case of mine an Exchange 2013 server in an Exchange 2010 environment). When they launch the Start Menu shortcut to the Exchange Management
Shell, it shows the session connected to the 2013 server, however as we know from your above change, they are proxied to the mailbox server where the admin is, which is 2010. Now the same admin tries to find the new Exchange 2013 server in PowerShell and will
not able to do so. Unless they know about the local PowerShell (PSSnappin) or find the other shortcut in the Bin directory of the Exchange install, they will be sorely confused. Seems this will actually cause more issues than it solves. +1 to all the above
comments as well