FO OF A DC9-30 FAILED TO TURN AT THE INTERMEDIATE ALT DURING A MISSED APCH. THE FLC'S ATTN WAS DISTR BY A WING SLAT DISAGREEMENT 'ON LIGHT' AND STALL WARNING STICK SHAKER AT NORMAL PITCH UP ATTITUDE WHEN INITIATING THE MISSED APCH PROC.

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UPON EXECUTING THE LNDG CHKLIST JUST INSIDE OF THE OM; I NOTICED THE SLAT EXTENDED LIGHT WAS NOT ILLUMINATED AND THE SLAT DISAGREEMENT LIGHT WAS. WE DECIDED TO MISS THE APCH AND WORK OUT THE ABNORMAL. UPON REACHING APPROX 10 DEGS PITCH ATTITUDE; THE STICK SHAKER WENT OFF INTERMITTENTLY. WE CONTINUED OUR MISSED APCH AT A LOWER PITCH ATTITUDE. WITH THIS UNCERTAIN CONDITION ALONG WITH BEING IN MODERATE ICING CONDITIONS DISTR US FROM MAKING A L TURN AT 1500 FT MSL ALT FOR THE MISSED APCH. WHEN I WAS FINALLY ABLE TO TALK TO TWR HE SOUNDED CONCERNED OVER OUR ACFT POS AND TOLD US TO MAKE AN IMMEDIATE L TURN AND COME BACK DOWN IN ALT TO 3000 FT (WE WERE AT 3500 FT AND CLBING). BECAUSE OF THE CONFUSION (OVER WHAT CONDITION THE SLATS WERE ORIGINALLY IN) AND A DESIRE TO BE SMOOTH FOR OUR PAX; THE FO DID NOT INSTANTANEOUSLY REVERSE ALT. I SHOULD MENTION HERE THAT THE MISSED APCH ALT FOR RWY 30L AT MSP IS 4000 FT. THE PROB SHOULD HAVE BEEN NOTICED EARLIER BY MYSELF. I DON'T REMEMBER CHKING SLAT POS LIGHTS AFTER I INITIALLY EXTENDED THEM. THIS IS DUE TO DISTR OF A QUICK VECTOR FOR THE APCH AND A CONCERN OVER THE AMOUNT OF ICE ACCUMULATION. HOWEVER; HAD I ADHERED TO 'IF YOU MOVE A SWITCH OR CTL MAKE SURE IT DID WHAT YOU WANTED;' I WOULD HAVE NOTICED THE PROB FURTHER FORM THE ARPT. SECONDLY; THE DISTR AND SURPRISE OF A STICK SHAKER WARNING AT 10 DEGS PITCH ATTITUDE ON GAR AT NORMAL GAR SPD; WE DID THE RIGHT THING BY KEEPING THE WINGS LEVEL INITIALLY; BUT AFTER WE HAD GAINED SOME ALT WE SHOULD HAVE BEGUN A TURN EARLIER. MY SITUATIONAL AWARENESS WAS FOCUSED TOTALLY ON THE ICING AND THE STICK SHAKER. I FEEL THAT A MORE THOROUGH BRIEF OF THE MISSED APCH WOULD HAVE INCREASED SITUATIONAL AWARENESS LATER ON.