Not surprisingly you got lots of opinions from those who don't own a Montana. As someone who owns one and previously owned a 2005 Montana, I can only tell you two things.
1. Those slots *ARE* the return air supply to the heater. Do not close them off. Some have added a HEPA filter there (you have noticed there are no filters in the heating system) but it needs to allow a free flow of air.
2. Join the Montana Owners Club (MOC) forum, a free to join, non-vendor supported site, at
MOC. There are over 18,000 Montana owners there and it is a huge repository of all things Montana. Use the "Search" tool (be sure to chack the "Archived Posts" option) to locate previous discussions about the Montana heating system.