I can't make any comments about the structural integrity of this idea as I know nearly nothing of roof architecture. I would advise getting a pro to check your specs and make sure the idea is structurally sound.
I can comment on the adhesion of the slate to the concrete. You can either use epoxy or a good mastic for that application. Either one will give you a strong bond. I personally like the epoxy as it is a permanent bond. The thinset may work, but with temperature changes and weather it may not hold, and I certainly wouldn't want to be under a piece of slate if it fell off your roof
Mark
