PP on Macs does not have this feature, but there are workarounds. For the 2004 version of PP, there is an AppleScript application that will do this. For the 2008 version, an Automator workflow can be used. Below are links and notes for those. NOTE: if your computer is running Snow Leopard (OS 10.6), you need to use the image importer in this entry instead.
Batch importer for 2004 PP [Save to your desktop and unzip; open a new, unformatted slideshow then double-click on the icon for the batch importer; navigate to the folder of images and click choose; wait while it inserts all the images.]