The Pen Slice tool uses the same underpinnings as the Pen tool. Therefore, you can leverage the same structured or organic flow for creating a slice plane as you would when creating a polygon with the standard Pen tool.
In the Type list, select either Open or Closed. By default, in Closed mode, Modo connects the first and last point in the slice profile to create a closed loop.
Self-snapping options include World Axis, Straight Line, and Right Angles.