You are correct. It is not an option with the One SL. You could get the Sonos One with Alexa already built in, connect the Echo Dot to a Sonos Five through the line-in port, or connect the the Echo Dot to a Sonos Move (or the soon-to-be-announced Sonos Roam) via Bluetooth. 

So have i understood correctly?  You bought a speaker designed to play music aimed at those with a pathological dislike of voice assistants, to play your voice assistant but not to play music?

As already stated a One would do what you want.  If your Dot is gen 1 or 2 you could gain a worthwhile improvement in sound quality by getting a gen 3 instead.  That may be good enough for your purposes.  (I haven’t heard a gen 4, maybe that is a further improvement.)

Nowhere in the sales literature, or that I saw anywhere does it say,  "this speaker is designed to play ONLY music aimed at those with a pathological dislike of voice assistants. To be absolutely clear, it will not play your voice assistant but only  plays music."

John B. Thank you for your condescending answer because the bottom line is you did inform me I made a mistake with this purchase. Thankful of Amazon's return policy! 

GS, thanks for your thoughtful and informative response.

@RCMUK . I apologise for any condescension in my tone.  I did try to be constructive with the suggestions on the Dots.  That was based on the fact that I would not want to listen to anything on a gen 2 Dot, but would find a gen 3 acceptable for news and weather etc.  Not suggesting that you would necessarily feel the same, just suggesting the possibility.

Apology accepted. And I appreciate the clarification!

I must have a gen 2 and suggesting to get a gen 3 makes sense.

But, I do not understand why the capability to play the voice assistant is not available with a One SL. It doesn't have a mic or built in alexa so that satisfies those that don't want big brother listening.  It should be able to for the percentage of people like me that want an external speaker for their gen whatever. Falls short IMHO being just for music.  Makes sense to me that it should be able to play music/news/weather/anything alexa can play. It's ridiculous it can't.

@RCMUK, Think of the voice assistants on Sonos as alternatives to the Sonos app, i.e. as remote controls to the Sonos speakers.

This is the review I posted in Amazon:

The Sonos One SL is intended for music only.  When integrated with you Echo Dot it will play music from Pandora, Amazon Music etc. beautifully, but when you ask Alexa for the time/weather/news/etc. it WILL NOT play through the Sonos One SL, that media comes out of the Echo Dot Speaker itself.  There is NO WAY to enable the Sonos One SL to play Alexa voice assistant media, which I find a complete shortfall.  This would be a 5 star rating otherwise.
Here are your options if you mistakenly bought a Sonos One SL like me:
1. If you are using an Echo Dot Gen 1 or 2 step up and get a Gen 3 or 4 with an improved speaker and continue to hear your Echo voice assistant media through the Dot and your music through the Sonos One SL.
2. Pick up a Sonos One (so you'll have one Sonos SL and one Sonos One) which has an integrated Mic and integrated Amazon Assistant.  Then you'll have great stereo sound for music and the Alexa voice assistant media will sound great as well coming out of your two Sonos speakers
3. Just get the Sonos One if you want a speaker for Alexa voice assistant media and music.  I made the mistake of purchasing the Sonos One SL because as I have discovered it's only for music.
4. Return the Sonos One SL and get a Sonos One.

I have a new BOSE Soundlink Mini II that I want to trade for a Sonos One Gen 2.  The BOSE is also a great speaker. Thanks! Rick