When SlickEdit is running and an command-line invocation occurs (without the +new switch), the running version has to parse out the command-line options and try to do the right thing, open files and execute macros passed on the command-line. To do this, the current working directory is changed to match the working directory of the invocation, and then the working directory is restored. The restoration of the working directory is what is preventing your particular case from working.
There is a macro command that handles this, the dde command is located macros/files.e. I am hesitant to make any changes to this command, because many people currently expect it work this way and I want to make sure that it would behave correctly for everyone.