No. Does it work if I have ITunes Match?
Yes and no.
My music is working in slideshows with iTunes Match very well, but the songs need to be stored locally on your Mac.
So, before you add a song to your slideshow, select it in iTunes Match and check, if the song needs downloading from iCloud.
List your songs in the song list and make sure that the column "ICloud Download" has been enabled.
Which symbol is shown in the column "iCloud Download" for the songs you want to use? If you are seeing a cloud with a download arrow click this to download a copy of the song to your Mac. Then you should be able to use this song in your slideshow.
These songs need downloading, before you can use them:
Some songs may be unable to be used at all:
If the cloud icon is showing a dashed "marching ants" outline, the song is currently waiting to be processed and cannot be used. If you need it desperately, restore a different copy from your backup.
Music with digital rights management attached cannot be used at all. If you are having songs in your iTunes Library that are showing "Protected AAC audio file" in the "Kind" field of the Info panel, you cannot use them at all.
Apple software will not let you convert protected songs to a format that will remove the protection.
I had the same problem with Apple Music. Apple Music is also protected.