They may have had the telegraph but they were also part of the confederacy and had been for 2 years prior to the emancipation proclamation, so why would they enforce an order given by someone who they did not view as their leader?
Also, something interesting that is overlooked by some, the emancipation proclamation only applied to the states that left the union. The few border states that didn’t leave the union but still had slavery, didn’t have that abolished until December of 1865 when the 13th amendment was ratified.