Connector footprint JAMMA
I am going to ignore all parts of the question that center around if you should use this part at all and concentrate on answering how you could do it using kicad.


  I've never created a KiCAD component and it looks like a fair bit of work to do a good job of it. Any information, guidance, encouragement or assistance with KicAD would be appreciated, with the outcome being contributed to the KiCAD libraries.


I have written up an extensive guide on how to make a footprint found here (This includes a lot of tips to reduce points of errors and increase efficiency): https://forum.kicad.info/t/tutorial-how-to-make-a-footprint-from-scratch/11092/
This also shows how to arrive at through hole sizes (including for slots) if there is no suggestion in the datasheet.


  In particular, can board makers do slots?


Not all manufactures can do it. The ones that can do it might charge extra for it. Additionally not every manufacturer understands the way how kicad defines them. So make sure you talk to them about this before starting your design. 

I know that Oshpark had trouble in the past with the kicad definition but i think they said they solved it recently. Their workaround they proposed in the past would no longer be viable in v5 as edge-cut drawings are now respected by DRC.