I am not familiar with the term CPU slug so my fist impression is to assume you mean the IHS.
But then your statment, "because you can put dielectric grease in the cpu slug to waterproof it," does not make any sense to me.
Do you mean the socket area immediately around the CPU then?
I don't think you really ever want to put anything but actual expansion cards in any of the slots. Though, I suppose you could technically put dielectric grease in them, why would you want to?
Barring immersive liquid cooling, I can't think of any reason to do it, but that is something I am not as familiar with.
Something like THG did,
http://www.tomshardware.com/2006/01/..._out_the_fans/