Like Mesa states in the
manual, the Slave Out is derived from the speaker jacks, which means that it's taken from the last point in the signal chain before the speaker.
It is very important to understand what the main parts of an amplifier are. There's the preamp (the section that converts your instrument level guitar signal into a line signal, mostly shapes your tone and includes all the tone and gain controls) and the power section (that amplifies the line level signal to a speaker level signal, makes out most of the 'feel' in the amplifier and where the tube, presence and master output controls are). An FX-loop is basically the junction between those sections, allowing for a signal to be taken out of the preamp section (send jack) and a signal to be patched in to the power section (return jack).
The Slave Out on your Roadster has a level potentiometer that makes sure the signal is at line level, not speaker level, as that would clip any direct/mixer input. So we're dealing with a line level signal here. Now, if you'd like to have the direct sound from your Roadster amplified by another amplifier (use the power section of another amp), the logical thing would be to patch that line level output into the return jack on the other amp (or power amp in).
Now, the signal goes from your guitar, into the preamp section of the Roadster, internally to the poweramp section of the Roadster, then patched to the poweramp section of the second amplifier, and finally to the speaker connected to that amp. Obviously, the other amps preamp section is not included in this signal chain, thus your guitar does not need to be connected to its input, logically.
Bear in mind however, that the Slave Out is derived from the speaker jack, which does not mean moved to the Slave Out. It's split. That means that there still is a signal coming out of those speaker jacks and needs a speaker load. So you'll still have to have a speaker connected to the Roadster when you're using that output. Otherwise you'll fry the output transformer.