Consider two bosonic modes which are prepared in one of two possible Gaussian states with the same local energy: either a tensor-product thermal state (with zero correlations) or a separable Gaussian state with maximal correlations (with both classical and quantum correlations, the latter being quantified by quantum discord). For the discrimination of these states, we compare the optimal joint coherent measurement with the best local measurement based on single-mode Gaussian detections. We show how the coherent measurement always strictly outperforms the local detection strategy for both single- and multi-copy discrimination. This means that using local Gaussian measurements (assisted by classical communication) is strictly suboptimal in detecting discord. A better performance may only be achieved by either using non Gaussian measurements (non linear optics) or coherent non-local measurements.