What version of Exchange are you running? At least for Exchange 2007 through Exchange 2013, RetentionPolicy and UsageLocation are not filterable properties. See https://technet.microsoft.com/en-us/library/bb738155(v=exchg.80).aspx for the Exchange 2013 filterable properties article. You can get to the ones for Exchange 2007 & 2010 from there.
Kevyn - I didn’t even think about the field not being filterable. I’m using O365. I tried the command with only the retentionpolicy and it didn’t work. I did have that workaround but I was trying to be greedy and have the filter do all the work.
UsageLocation is a filterable property in O365, which currently uses Exchange 2016. However, the RetentionPolcy still does not look to be a filterable property. Looks like you’ll have to filter that locally.