Yes, it's a known bug. Ideally you should be given a message telling you to render the previews before the show,
If you're doing a slideshow for other people, get into the habit of creating a Collection for the show in Library. Add the images, set the Collection's sort order to User Order and drag thumbnails around so they're in the sequence you want.
Then select them all, and create 1:1 previews with the Library>Previews menu. This is so LR won't have to regenerate the full screen images from the raw data when you're presenting your sldieshow.
John