I added a PR with a small patch to document this behavior and reconcile _pickle.c and pickle.py

Some explanations on why I am pushing this forward:
 
Pickling instances of classes/subclasses with slots is done natively for pickle protocol >= 2. Mentioning this behavior in the docs should *not* make the user worry about implementing custom __getstate__ methods just to preserve slots.

Here is the reason why I think this functionality (allowing state and slotstate) is worth documenting: pickle gives us a lot of flexibility for reducing thanks to the dispatch_table. But unpickling is rather rigid: if no __setstate__ exists, we have to deal with the default state updating procedure present in load_build. Might as well document all of it ;)