Let me start by saying that I am really dredging up stuff from a long time ago, so I could be very wrong, but....
I think that all brakes are cast with their final finish, be that slots, or holes. The main reason is that when you work metal, you change its properties. For instance, if you were to drill holes into a rotor, you would locally work harden the metal around the hole. Depending on the temperature you achieved, you will change the structure and hardness of the metal. This could lead to cracking or vastly different wear patterns in the metal.
Heat treating metal after it has been cast can change the characteristics of the metal as well, and in some cases can almost reset the crystalline structure. Just do a Google search on heat treating.....
And yes, when you hammer your brakes, you are heat treating them.
Another issue is quenching metal - rapid cooling. This also changes the properties of the metal. It can make the metal more brittle and it can also cause it to change shape because it doesn't cool evenly. Uneven cooling, not necessarily by quenching, can also introduce localised stresses into the metal which can lead to cracks and ultimately failure of the part.
I think I recall being told that cross driller rotors would help do dissipate the buildup of water between the disc and the pad. But I would imagine that slots would achieve the same thing. It's interesting to note which cars have slotted and cross-drilled rotors as standard. Also, have a look at the V8's. A few years ago, they were all cross-drilled, now they all appear to be running slotted.
Personally, I think that the cross-drilled look better, especially under calipers that bear a brand name such as Porsche, Lamborghini or Ferrari...
