Hi,
At the end of the Slideshow creation, make sure to select Advance Editing. The result will be added to the timeline, so that it can be part of a larger production.
You can always change the slide show select the show and select from just above the timeline: “Slideshow” to edit the show, or Customize to go straight into the customization of the slideshow creator, alternatively select the show in the timeline and right click and select Edit in Slideshow creator, or remove slide show effect.
This is what the manual writes:
https://help.cyberlink.com/stat/help/powerdirector/365/win/enu/06_07_00_creating_slideshows.html?q=slideshow