Connecting 2 XBee pro 868 (s5) to parse the state of a DI

I thought I could transfer the state of a digital input (DI) wirelessly using 2 XBee pro 868 (s5).
Something similar to what this video shows:

From your answer I understand I cannot do that and I will need a microcontroller to parse the API command in order to get the state of the DI.
Is this

effectively what I need to do?

That is correct. The XBee PRO 868 does not support direct DIO line passing. It is only supported via remote AT commands and the API interface.