I don't think there is a transition effect (fade out from image to image, etc.) available to insert between image slides when creating a picture slideshow.
There isn't one that I can find. It's just a straight click through picture disc. However, you could build the slide show in Vegas and use chapter marks for up to 99 pictures and then use the AVI file in DVDA. The transition would look kind of funny when going from picture to picture unless it was playing straight through or you did a fade-in type of transition for each picture. Still, it would be nice to have the option here since they obviously know how to do transitions.
They're easy to make in Vegas. Just set your preferences to the amount of overlap and length of the clip you want, then drag and drop them all in at once and Vegas does the transitions automatically.