I've done some further testing. Now, with Photos 3.2 it looks like a sorted slideshow can be created from an album, if the album has an automatic sorting - by title or by date. As soon as I apply some manual sort to the album, all is lost.
But if I sort the album by date - ascending or descending, then ctrl click the album and use "Create slideshow", the resulting slideshow seems to have the same sort order as the album. And it is now possible to open the Info panel for a photo in the slideshow. So we now can copy and paste the title from the Info panel to a text slide to add a caption. Also, the automatic placement of the photos does no longer put portrait photos into placeholders for landscape photos or vice versa.
But otherwise it is still very limited. The Live Photos are only still photos in a slideshow, and there is no way to add the titles of the photos automatically to the slides.