Hi,
What I understand from your request, you want a quick access to the set of included/excluded items for slicer - it is not about being able to access them via object (modifier) or material.
For the dependencies, if you use drag and drop, then there is no prompt window to merge also child nodes/dependencies. But if done through File >Import >Merge, you will have this option.
Yes, still not the most convenient way.
For the quick access, there is a "special" way of doing this natively in Max - Selection sets, which all max include/exclude windows support (with the weird limitation like splines not being listed there), but I think this is the closest thing to what you want. Of course include/exclude list objects, picked by a selection set, are not updated automatically when adding or removing objects from the set, but that is the quickest way of at least selecting the objects and then doing what is necessary.
I believe for the assumed workflow you have, combining selection sets with the include or exclude option of slicer will do the trick.