The axle is threaded as part of the bearing assembly. The bearing cones and locknuts screw onto the threads and tighten down to the proper bearing adjustment with the ball bearings and races that are further inside the hub shell. The slot is a key slot for a keyed washer between the cones and lock nuts so you can tighten/loosen one without turning the other by friction between the two. Or at least that is how I remember the whole thing.