Definetly recommend trying out Rover CLI as Stephen mentioned above.
If for some reason you have to use the Apollo CLI (still a recommendation for client* commands btw), you can download the schema using the Apollo CLI’s client:download-schema command like you are doing but without specifying the endpoint.
Here’s an example: npx apollo client:download-schema --key=$apolloAPIKey --variant=$graphVariant schema.json
The above should write the entire federated schema into the .json file. The key here is the Apollo API Key (no pun intended).