Yes you are right, the function Copy/Selection to Slices/Layers does not exist, because Slices/Layers do not exist in unstructured environments. Accordingly, the GUI does not provide a general solution for that. In you case, all "layers" have the same lateral extend. For this particular case I could imagine developing a solution using the FEFLOW Python API combined with a GIS API (arcpy, PYQGIS). Is script development an option for you?