The Proclamation didn’t apply to those parts of the CSA which were firmly in Union control (i.e. no longer in rebellion). For example, it didn’t apply to Tennessee, West Virginia, and parts of Virginia and Lousiana (wiki map).
The reason for this was that Lincoln issued it under his war powers, as Commander-in-Chief - and therefore was careful not to apply it to parts of the CSA which were no longer in rebellion.
However, the Proclamation did have the immediate impact of freeing about 20,000 slaves in areas of the CSA that were in rebellion but under Union control: wiki article.
As well, as the Union troops captured more and more of the CSA territory, more and more slaves were freed by the military, acting under the authority of Proclamation. The wiki article gives an estimate of four million slaves freed as a result of the Proclamation by the end of the war.
Remember that Dred Scott was still the binding constitutional precedent, which held that the Congress did not have the power to free slaves in slave states, because slaves were a form of property, under state regulation. So even during the war, when Union troops initially regained control over CSA territory, they had to respect the property rights of the inhabitants of those states, including their property rights in their slaves.
The only federal authority at that time to free them was that set out by Lincoln in the Proclamation - declaring them free as a matter of military strategy - both to deprive the enemy of property, a well-known tenet of war, and also to enlist the freed slaves in the Union army to fight against the CSA - expanding the pool of troops available to the Union, another well-accepted war measure.
Lincoln expressed both these points in his famous letter to Conkling, to be read at a public meeting in Illinois:
[QUOTE=A. Lincoln]
The most that can be said, if so much, is, that slaves are property. Is there–has there ever been–any question that by the law of war, property, both of enemies and friends, may be taken when needed? And is it not needed whenever taking it, helps us, or hurts the enemy?
…
The war has certainly progressed as favorably for us, since the issue of proclamation as before. I know, as fully as one can know the opinions of others, that some of the commanders of our armies in the field who have given us our most important successes believe the emancipation policy and the use of the colored troops constitute the heaviest blow yet dealt to the Rebellion, and that at least one of these important successes could not have been achieved when it was but for the aid of black soldiers.
[/QUOTE]
Remember as well that at the time the Proclamation was issued, the 13th Amendment was in the future - and there was no guarantee that it would be passed. I think that the 13th Amendment is now seen as an inevitable outcome, but back then, that wasn’t the case. Although it had passed the Senate by a wide margin, the House of Representatives had declined to consider the amendment. It took a major political push by Lincoln and others to finally get the House of Representatives to pass it - and that was without the CSA state delegations being present.
So, at that time, the Proclamation was the first and most effective way of freeing slaves in the CSA - as a military measure, and enforced by the military bringing those states back to Union control. It certainly did have an impact.