No, the strings just lie across the top of them. I've got a set on one of my Teles and they are fine. The original Fender Tele round brass saddles didn't have any slots either.
If you find there are string spacing issues with them and want to move the strings slightly from where they naturally want to sit, you can of course cut a small notch with a V-shaped needle file. But you should find you don't need to as the string-through holes on the bridge will be evenly spaced.