Yes, by default the same test as Sobel is used (Delta method). However, it is often recommended to use the bootstrapped method instead because it gives better estimates of the standard errors.
Why would it be useful to include N in the result of the simple slope analysis?
Similar to other analyses, it is essential to know how many subjects have been assigned to each 3 groups (low, intermediate, high) because as you know N influences the effect size and this report shows the reliability and power of the results. In simple word, how trustable is the finding. For instance, in my data, I had only 4 participants in low grou, which means any comparison with this group is extremely weak.
These values (-1SD, Average, +1SD) are based on the model, not on the individual cases. These are basically just linear formulas where we use a different value of the moderator (-1SD, Average, +1SD) to calculate the individual estimates. So there is not really such a thing as N here.
