Wiki sez:
The proclamation did not cover the 800,000 slaves in the slave-holding border states of Missouri, Kentucky, West
Virginia, Maryland or Delaware, which were Union states; slaves there were freed by separate state and federal actions.
The state of Tennessee had already mostly returned to Union control, so it also was not named and was exempted.
Virginia was named, but exemptions were specified for the 48 counties that were in the process of forming West Virginia, as well as seven other named counties and two cities.
Also specifically exempted were New Orleans and 13 named parishes of Louisiana, all of which were also already mostly under Federal control at the time of the Proclamation.
I rather suspect that this was not the cause of Lee's delay; rather, until the victory at Fredericksburg had knocked the Army of the Potomac back on its heels for a few months, General Lee had bigger fish to fry than dealing with his Father-in-Law's final wishes.
I only wanted to point out that Lee was neither a cruel plantation owner, nor a pro-manumition humanitarian. He was a career military man.