maybe it can't put the script into /etc/init.d because it doesn't exist... slackware uses /etc/rc.d for it's startup scripts... i'm not sure what the procedure would be to get shorewall to deal with this, though...
iproute(2) is NOT part of the official slackware install... you can find it in the "extra" directory on cd2...
or you can download it here:
ftp://planetmirror.com/pub/slackware...try-i386-4.tgz
to install just do a:
installpkg iproute2-2.4.7_now_ss020116_try-i386-4.tgz
i really suggest staying away from shorewall, though... i mean, i think shorewall is great for newbies using red-hat based distros and stuff... but
slackware makes setting your firewall VERY simple, naturally (without the need to install special tools)... even if you're a newbie...
for example, you could easily generate a very decent iptables script using a web-based generator like this:
http://easyfwgen.morizot.net/gen/
then just tweak it to your needs, save it as
/etc/rc.d/rc.firewall, make it executable (chmod a+x /etc/rc.d/rc.firewall), and you're done... you didn't even need to install anything, since you already have everything you need,
iptables...
of course, this is just a suggestion, i'm not saying shorewall sucks or anything like that... plus i used shorewall A LOT before i switched to slackware (from mandrake)...
=)