I'm having the same problem. I think its a bug.
You def have to use the beta graph.
If you run the beta command using the "-ManagedDeviceID" You will get LostModeState and it will be accurate. (see below example)
Get-MgBetaDeviceManagementManagedDevice -ManagedDeviceId <INSERT_INTUNE_DEVICE_ID> | select *
Downside to this is you have to either know the device ID ahead of time or get ALL the managed device IDs first and then use a foreach to loop through EACH device ID individually.
Any attempt to utilize the "Get-MgBetaDeviceManagementManagedDevice" cmdlet for bulk lookup (aka using the "-all" parameter or "-Filter" parameter results in LostModeState outputting as "Disabled"
I have not opened a microsoft case for this yet. However it being the "Beta" api i am not hopeful that they'd fix it