docs: Move openai and slack to developers/build/connectors/integration/*

[royendo]

Two things, is it integrations? and this might be confusing with the developers/integrate but Verb vs Noun/ different levels should be ok.

Checklist:

• Covered by tests
• Ran it and it works as intended
• Reviewed the diff before requesting a review
• Checked for unhandled edge cases
• Linked the issues it closes
• Checked if the docs need to be updated. If so, create a separate Linear DOCS issue
• Intend to cherry-pick into the release branch
• I'm proud of this work!