Indeed, in your case, that’s an issue. 
Something to consider is that, for my point of view, the limitation is that you are not allowed to select the section directly from Slack, that would solve the issue.
Maybe you could consider create a topic in the Product Feedback category and get people vote for it (with the hope of Asana adding it on the roadmap).
An example with another request for the Slack integration: Status updates to Slack
No, you can create subtasks to the task but not converting the task into a subtask that would be automatically nested below existing tasks.
That action is not available in rules yet.
You maybe take a look at the Product feedback list, I wouldn’t be surprised that this request already exist, but I couldn’t find it with a quick search (Search results for 'rules subtask #forum-en:product-feedback' - Asana Forum)
Wishing you all the best with Asana 
Arthur