The Emancipation Proclamation was limited to areas 'currently in rebellion' which meant it excluded those slave states that did not throw in their lot with the Confederacy (accounting for about half a million slaves), as well as quite a few regions that were firmly under Union control (accounting for roughly a quarter of a million slaves.) This meant that for most slaves in Union-controlled territory, it changed nothing.

However, to say that it didn't actually free a single slave is factually incorrect. The Emancipation Proclamation cleared up the uncertain status of escaped slaves who were held by the Union Army as contraband slaves in a compromise between the Fugitive Slave Act and the fact they couldn't well return fugitive slaves to the enemy. The majority of these 'contraband slaves' were freed the day the Proclamation went into force.

In total, this was somewhere between twenty- to fifty thousand slaves. More slaves would be freed under the proclamation as the war progressed, and as news of the proclamation reached the slaves in the confederacy, countless slaves near the frontlines fled their masters in the hopes of reaching Union-controlled territory and thus winning their freedom.

However, the impact of the Emancipation Proclamation wasn't solely the fate of the slaves themselves. It formally made freeing the slaves in the confederacy part of the military goals of the Union, and thus de facto made supporting the South undeniably supporting slavery, which undermined chances for military foreign support for the Confederacy. Strategically speaking, it was important for the Union to prevent the Confederacy from making allies, and the Emancipation Proclamation fit within the pattern of the Union's attempts at establishing moral high ground in international perception of the civil war.

Finally, as a use of his wartime powers, Lincoln could not have emancipated the slaves in those slaves states that did not throw their lot in with the Rebellion. That could only be done through constitutional amendments. Similarly, because of limits on his authority, the Emancipation Proclamation did not grant these freed slaves citizenships, it merely granted them freedom.