1: Post your file for actual scrutiny of your process setup. There's reasons why you're not getting the results you want.
2. SMT machining does require some amount of cutter clearance in a narrow slot, because this is good machining practice for mold machining. For simple slots and such, you can (and should) use mill profile to make a tool fit exactly in a slot, based on the extracted edges of the slot, or a simple 2d wireframe layout of the slot. I know I used to think the same way as you, but if you really stop and think about it, a full width, single pass slot usually turns out with a crappy finish on one side at least, and the chip clearing is not very good.
3: I suspect you may be in Cadview mode, when there is no request for Z information. Use Top view (3d) when you want all 3 axis to appear in the dialogs. If that is not the issue, then perhaps you have locked in a plane. At that point, then requests to set the plane stop coming forth. To change the plane, you need to click on the plane icon down in the lower left status bar. Then you can uncheck the locked in plane and select a new plane.