We study the distributed Linear Quadratic Gaussian (LQG) control problem in discrete-time and finite-horizon, where the controller depends linearly on the history of the outputs and it is required to lie in a given subspace, e.g. to possess a certain sparsity pattern. It is well-known that this problem can be solved with convex programming within the Youla domain if and only if a condition known as Quadratic Invariance (QI) holds. In this paper, we first show that given QI sparsity constraints, one can directly descend the gradient of the cost function within the domain of output-feedback controllers and converge to a global optimum. Note that convergence is guaranteed despite non-convexity of the cost function. Second, we characterize a class of Uniquely Stationary (US) problems, for which first-order methods are guaranteed to converge to a global optimum. We show that the class of US problems is strictly larger than that of strongly QI problems and that it is not included in that of QI problems. We refer to Figure 1 for details. Finally, we propose a tractable test for the US property.