For Wei I do not think much would have changed since, as has already been said, Cao Cao had so many capable generals and advisors that the addition of Guan Yu would not have meant that much.
However, for Liu Bei the possible change would be with the Jing situation. Guan Yu was a very capable general and he spent many years in Jing. Over time, Guan Yu built a strong force with the very limited resources that Liu Bei was able to provide him. It says in Guan's SGZ bio that he was able to strengthen his forces considerably by rallying local bandits to fight for his cause. It was with this performance that Guan Yu achieved great fame. It is logical to assume therefore that Guan Yu's performance in Jing was very impressive and unlikely to be matched by other generals in Shu. Hence if Guan Yu had remained with Cao Cao then Liu Bei may have had considerable more problems with holding onto the Jing province for any small amount of time.
Another possible and less likely outcome (again in reference to the Jing province) is that the loss of Guan Yu would have allowed Liu Bei to hold onto Jing for longer. Guan Yu was not very diplomatic in his treatment of Sun Quan and perhaps another general could have delayed Sun Quan's invasion through superior diplomatical skill. Although in my view, this general/advisor would not have been able to strengthen the Jing forces as much as Guan Yu did.
In short I believe if Guan Yu had stayed with Wei then Liu Bei may have suffered in regards to the Jing situation. Cao Cao's situation would not have changed much.
''I've never fought for anyone but myself. I've got no purpose in life. No ultimate goal. It's only when I'm cheating death on the battlefield. The only time I feel truly alive.'' ~Solid Snake