In addition to the problems mentioned above, SlickEdit would need precise include file information which users really don't want to take the time to set up. As already mentioned, a full parse with includes would drastically slow down tagging (a very bad thing).
At the moment, it makes more sense to make it easier for users to set their defines. There is still more we could do here. I thought we had a "Scan for defines" feature which allows you to pull out referenced defines out of a source file (like the current source file) and set them but it only seems to be available on the Selective Display dialog. There is an "Import..." button which can help but if you have tons of header files this isn't as helpful for quickly setting up defines so you can better view the current source file.