"That on the first day of January, in the year of our Lord one thousand eight hundred and sixty-three, all persons held as slaves within any State or designated part of a State, the people whereof shall then be in rebellion against the United States, shall be then, thenceforward, and forever free; a..."
The part you’ve underlined says exactly that slaves are henceforth and forever free in those states where the people are in active rebellion against the United States. That explicitly excludes Union States. Read the proc again.