Am I way off the back, or is this new? I'm not sure what's changed - I thought Flickr slideshows weren't supported. Maybe something to do with Flickr's recent redesign?
Here's what I did: I used Flickr's 'blog this' feature to insert a photo into a post. Knowing the slideshow wouldn't work, I then grabbed the URL for the slideshow (NOT the embed code) and pasted that into the post. I hoped the link to the slideshow would appear - instead the slideshow works!
See it here:
http://www.flickr.com/photos/peter_colapinto/sets/72157624230851885/show/