OK, finally cracked it! First of all, openvpn is an extra cost option on my service, with pptp being the default. This isn't immediately obvious from the sales blurb, which goes on at great length about the advantages of openvpn and how to set it up, without mentioning it being an extra cost option!
To make pptp vpn work on Slackware involves adding quite a few packages. For a start, if you roll your own kernel, make sure ppp is enabled. Then you need to compile and add NetworkManager-pptp. You will also need to compile pptp - a vpn client that is not part of the standard Slackware distribution. I'd done the first two, but didn't know that this third item was needed as well. Indeed, I didn't even know it existed! It was the syslog that gave me the clue!
During the course of all this, I recompiled all the NetworkManager stuff to 0.9.8 - the latest version. The base NetworkManager is in -current at the latest version, but you can't just install the package. Some of the dependencies have changed and it complains! I had to compile it from the -current source against my otherwise stock system. With 20/20 hindsight it would probably have worked with the stock 0.9.4 version....
Anyway, its all up and running now, though there seems to be quite a speed hit when using it!
Thanks for the hints and tips, Chrissi29!