Definition: Sentence - a first order logic formula with no free variables. Semantic deduction theorem claims that in case $\alpha$ is a sentence, and $\Sigma$ is a formula's set. Then $\Sigma , \alpha \models \beta \Rightarrow \Sigma \models \alpha \rightarrow \beta$
Proof: To demonstrate $M\models \alpha\rightarrow\beta$ it is enough to show that in case $M\models \alpha$ , $M\models\beta$ due to $\rightarrow$ definition. In case $M\models\alpha$ from the given condition, $M\models \Sigma,\alpha$ and $\Sigma,\alpha\models \beta \Rightarrow M\models \beta$.
My question is, where in the proof do we use the fact that $\alpha$ is a sentence. As I understand it, in case $\alpha$ is not a sentence , there might be a model $M$ such that , $M\not\models \alpha$ and $M\not\models \neg\alpha$ and therefore the stamtment "in case $M\models \alpha ...$" which is used in the proof is not valid in case $\alpha$ is not a sentence. Is it the right observation? Are there any other assumptions this prove makes which are based on the fact that $\alpha$ is a sentence and not a regular formula?