The Slider element in Oxygen is quite versatile in that it allows us to place any content/other elements in the slides.
The below screencast shows how we can set up a testimonials slider:
Update on August 02, 2018:
I realized that it is not possible to drag Sections inside other elements. Therefore the drag and drop issue that I faced is not really a problem. As a matter of fact, when I select a slide and insert the premade Testimonial section, it should not have worked.