Depending on how many images you load into the slideshow and on what kind of images the originals are (large Raw - JPG) it can take quite a while for Lr to build the slideshow and start it.
Try to create a dummy slideshow with only 2 or 3 images, and see if that works.
Same problem here (upgraded from LR4 through CC) with any substantial catalog. C'mon: this is a database program, it has to account for exceptionally large libraries. This is incredibly frustrating.