“So as I understand it, the Slate styles only work with assets that have been imported into the editor, and can’t work with “raw” assets straight from an external file?”
That’s not strictly true for games (and is not true at all for the editor, which loads all its content from disk since it doesn’t get packaged like a game does), but if you do load things from disk there are considerations that must be taken into account to ensure your content is packaged correctly, so we strongly advise people not to do that where there are alternatives (such as using a Slate Brush asset and a texture asset, rather than loading a texture from disk).
There isn’t an alternative for fonts, so loading from disk is currently the way it has to be. You’ll need to ensure that any fonts you add are somewhere inside the /Content/Slate directory for your game (you may need to make this) otherwise they won’t get packaged correctly.