A couple of factors are involved in this. The first is that not all roads are located with high precision on the maps .. Navteq, Teleatlas, you name them, there are always some mismatches in geolocation. It's getting better over time, but it still occurs. There could easily be a 100' error in the vector map vs. the reality.
Add to that terrain where there is additional imprecision in the ability to establish a good set of GPS coordinates (something you see rarely there, but is a frequent situation in the mountains here in Colorado). We sometimes get a weak lock here where the EPE (Estimated Position Error or Estimated Probable Error, depending upon who you believe) is pretty terrible, and actual position is not known within more than 100 feet or more to begin with.
Because such issues were anticipated by the auto nav GPS manufacturers, the "road snap" feature was incorporated into both automotive and mapping handheld units - you can usually only turn it off on the latter. The manufacturers didn't want these units constantly indicating that you were having some kind of off-road adventure! The unit makes its best guess as to where you are, and puts you squarely in the center of that guess.
In addition, each manufacturer uses their own proprietary algorithms for making the determination that you've left the road you were on, or for that matter, any known road on the map. If you don't appear to be deviating by more than xx feet from your current projected route, or more than xx feet from the geolocated position of the road, the device will assume that you have continued as expected.
In your case, it is likely that the "slip road" was very close to the main road, and in addition, it is possible that a geolocation error caused the unit to think that you were actually improving your actual position against that main road -- or at least not putting you far enough off track to assume you were on a different one.
Stuff like this happens -- thankfully, not all too frequently, but it all hinges on the accuracy of the map vs. reality and the tightness of the algorithms used by the GPS to decide what the more likely reality is.