Slag is what is left over after all the metal you can squeeze out with your current furnace technology has already been squeezed out.
It is a mixture of various goodies that make your iron brittle and shitty; and you just got rid of that shit, so go dump it in a hole somewhere
HOWEVER, slag being shitty and brittle crap isn't all bad. It's pretty similar to stone and I've heard of some people using slag to make housing insulation so certain kinds of slag cant be too different from stone (dolomite, a kind of stone, is what it would be replacing/mixed in with).
Being able to get some usable stone or brick out of slag wouldn't be entirely unrealistic.
[/Engineer]
of course, it's up to our generous Devs whether or not it makes sense from a gameplay standpoint.
