Great thanks to the author of this blog post: Inconvenient Content Query Web Part slots and CQWP’s extensibility.  I happen to think that the Content Query Web Part has been one of the most powerful features of SharePoint since Microsoft introduced it.  I used it a ton in SP 2007 and they’ve added great updates in 2010, but documentation on the new features has been tough to come by.  In fact, I didn’t know these things were called ‘Slots’!  I’ve been using them with a nagging feeling that I don’t really understand what makes them auto-magically appear.  That blog post does a great job of explaining what can cause failures and how to avoid them.