I think this will work for Ubuntu 20.04 as well, but on 18.04 I did the following:
(Note, assuming you installed SlickEdit in the default path /opt/slickedit-pro2020)
1. Copy the desktop file for SlickEdit as follows:
$ cp ~/Desktop/SlickEdit Pro-25.0.1.0.desktop ~/.local/share/applications/.
2. On the launch bar at the bottom, click on the "Show Applications" (looks like 3x3 dots icon)
3. In the Search, type "SlickEdit"
4. You should see an icon for SlickEdit in the search, right click on this icon, then select "Add to Favorites" on the context menu.
Give that a try.