Keil uVision offers the possibility to display the dependencies for each source file in the project window. SlickEdit does not provide such a view (as far as I am aware of). You have to keep in mind that SlickEdit is not a specific C/ASM IDE - it supports a huge number of languages and dependencies are very specific to some languages - I assume that is the reason why SlickEdit uses the generic approach.
I personally prefer to put the .h files to the project manually - this means I would have a "Config src" and a "Config inc" folder in my .uv2 file - this has also the advantage that the Context Tagging is aware of those files when converting a workspace.
Best Regards,
Gary