Its not that Lincoln didn’t want to free the slaves in MO,KY,MD, or DE. He had not Constitutional authority to do so. The 1857 Dred Scott v. Sanford decision by the Supreme Court specifically stated that the Federal Government had not authority to interfere with slavery in any state where it was legal. Lincoln spent considerable time and energy during the war to try an persuade these four states to outlaw slavery. The only state to do so was Maryland in Oct 1864.
Missouri did also in early 1865.
It was not politically expedient
Lincolns constitutional authority was fairly arbitrary
Understandable given it was a war