Now when we say that we have a PCI bus, do we mean that the PCI bus only consists of the devices in the PCI slots, or are there other devices that are not in the PCI slots that are also considered to be a part of the PCI bus?
Yes, a device does not have to be on a PCI card in a PCI slot to be connected to a PCI bus. It could be connected to the bus in some other fashion. For example, if you remove the slot from the motherboard, and then solder the connections directly to the pins of the PCI card, the device would still be connected to the PCI bus, but it would not be in a PCI slot.
On many older motherboards, the USB Host Controller and ATA Host Controller are connected to the PCI bus, but soldered onto the motherboard directly, not sitting on a PCI card in a PCI slot.
For example, the following is a VGA card that is built-in into the motherboard (it is not a separate PCI VGA card)
That is not a VGA card, that's a VGA connector. It is very likely that the VGA chip is not connected to the PCI bus but rather via a specialized interface to the Northbridge. (Or, it may even be part of the Northbridge and not a separate chip at all.)