Specifically, the
Emancipation Proclamation was exclusive of
Union states (namely
border states) because it was an
executive act. As only those states that had taken part in
secession could be covered under
Lincoln's war powers (and as they were the only states with whom the Union was at war) there was little room for him to make a more generalized declaration of
abolition.
Additionally, it would have been
politically unwise. The border slave states were already on the brink of joining the
Confederacy, but had rather remained neutral in the war. Had there been some early abolition of slavery, they might have been pushed over that brink, and that could have been strategically disastrous for the Union.
One might wonder about the
logic of illegalizing a practice in a region you don't control. As far as practicality is concerned, there isn't any logic in it at all. The
Emancipation Proclamation was almost entirely a
symbolic statement against
slavery, and a means by which to solidify it as a central
war aim.