The Proclamation did not end any slavery in Union states that allowed it. Nor did it end any slavery in Confederate states that did not recognize Lincoln as their president. The end of slavery in the USA began on 04/09/1865 with the surrender of Lee to Grant. That is what should be celebrated if you want to commemorate the end of slavery in the USA.
That is not accurate either. As Union troops moved through the south (those areas "in rebellion" specified by Lincoln in the EP) during the war, millions of slaves were indeed freed under the terms of the emancipation proclamation. Slavery as a legal institution did not end until the final ratification of the 13th Amendment in December of 1865.