It would have worked better if she actually was involved with Slade and was more like a sister to Oliver. I also believe that Slade's permanent roid rage is messing with his head and clouding his judgment. Pre-drug Slade would have been more understanding, or at least have been willing to listen to Oliver's explanation before deciding what to do.
The "triangle" they tried to force really only passes because Manu Bennett makes it work through sheer charisma and skill. It's one of the few times I think the show's pacing failed it; they probably meant to have her as Ollie's love interest and Slade's, but they refused to slow down and wound up losing Slade's angle. It might have worked better if they'd played her as being like a daughter to him, but Deathstroke's awesome enough for me to move on.
There was that time that Ollie was captive on the freighter and Slade was horribly wounded, Shado was taking care of him and laying with him to keep him warm, and he told her "You're a strong woman." Clearly there was more going on between them there in Slade's mind than there was in Shado's.