I have always thought that OSHPark do not support plated slots at all.

But this is actually not true anymore, they (OSHPark) just don't officially support it ;-)

You apparently have to mark the plated slots on the outline/edge layer for the fab-house to note as described here:

http://support.oshpark.com/support/solutions/articles/134889-internal-cutouts-and-slots

A more in-detail description on how to do this in KiCAD can be found here:

https://forum.kicad.info/t/oval-pads-not-possible-for-oshpark/835/4

• Draw a line on the outline/edge layer and set its diameter to the slot's width, it's as simple as that
  

If you follow the instructions, OSHPark should give you a preview with plated slots (and hopefully the fab-house will do as isntructed, too).