Slew rate slows down the rate of change of the LFO output, like adding glide or a low-pass filter between the LFO and whatever it's modulating.
If you're using the triangle wave on the LFO it's not going to make much if any difference. Try it on the square or S&H waveform to see what it does. On the square, as you turn the slew rate up it will transform into a triangle or sine waveform. On S&H, the transitions will be smooth instead of sudden.
You can also use it on the saw up or saw down wave to make a wave that rises faster than it falls or vice versa.