You may want to peep at "[SOLVED] slim does not set a default session".
A bit old, but possibly relevant still.

Thanks ralph. The solution is to change the line in /etc/slim.conf to:

login_cmd           exec /bin/bash -login /etc/X11/Xsession i3

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Actually, this isn't the answer, as Slim will now only boot into i3, regardless of whether I choose XFCE4 or not.

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I tried adding a "session              i3" line after the "login_cmd" line, but that doesn't seem to work in the newer versions of Slim.

I also tried installing another login manager (lightdm) but there is a depend created between slim and a "task-xfce-desktop" package that the Devuan developers have put in. A stop gap measure to control Jessie's quirks?

login_cmd           exec /bin/bash -login /etc/X11/Xsession %session

Alternatively, there is:

sessionstart_cmd	some command

but the description states:

This seems to me a more likely candidate as it seems to interact with .xsession, but then again, I could be completely off.

Open /etc/slim.conf

Look for the line that starts with the word --> sessions

The first item after the word "sessions" should be the default session; such as...

sessions i3,xfce4

Change it if i3 isn't first in order...or add/edit it so that it's first.

Not sure if it will require a reboot or just a log out/log in...

I apologize if this was a wild goose chase.

update-alternatives --config x-window-manager

but the only alternatives that show up are xfce4. However it is possible to switch between xfce and i3wm when using the Slim login manager, so the system is at least partially configured, just not to set i3 as default...