saving pdf slideshows on my computer

For small pdfs created to share a small number of files as mail attachments, use the share option and send the pdf to your own mail address, from where you can recover the pdf and store it where you want.

There is no customizable pdf slideshow options in Elements.

If you are happy to create a simple pdf with multiple files, without transition effects or similar, then you'll have to prepare your selection of files in an album (in 'album' custom order). You have to use the 'Print' command to print on a pdf virtual printer which creates the multipage pdf on your computer.

Ideally, Adobe expects you to use the 'Adobe' option of the printers, which is the most powerful, but it requires that you are subscribing to the 'pro' Adobe Acrobat. If you don't, you can use any of the many free virtual pdf printers available on Windows, including Microsoft's 'print to pdf'. The free Acrobat reader or many other software let you play the pdf as a slideshow. I don't know for Macs, but I am confident there is a similar printing option.