On the main menu of the game, what version does it say your game is? The current version is 3.3.2; it should say your version in the top right corner. The sicilian slave market was bugged in version 3.3.0, which should be automatically overwritten with 3.3.2 if you verify your game files through Steam. Afterwards, slaves should be accessible on the second page of the Build Non-Combat Units page of a city.