It's important – especially for vertical-slide milling but also to a degree for compound slide work – that the top surface of the cross slide is parallel to the saddle movement in the vertical plane; otherwise the vertical slide will be out of square to the spindle with all the problems that would go with that.
You could test that with a dial gauge mounted so that running the saddle back and forth would show any deflection.
Both the cross slide T-slots on my WM250V let a 10mm silver steel bar in with an easy fit – maybe a 0,1mm or so clearance.
Your top photo prompted me to put a square against the cross slide edge and top surfaces on mine, and they're also somewhat out of square, though I can't see that it would ever matter given the parallel top surface. I'd not been aware of it in 3 1/2 years' use of the lathe.
And mine too appeared to be covered in places with coarse grinding paste when I got it. I washed the stuff off with white spirit and thought no more about it.
Edited By Mick B1 on 27/11/2018 09:48:13