This is a very intriguing question.
An object at rest at the top of the slope is accelerated downwards by the gravitational force of attraction at 9.8 m/s^2 vertically downwards. As the object slides down there does seem to be a component of its velocity in the horizontal direction. Else, how does it move at an incline, it should move vertically downwards.
In fact there are two forces acting on the object sliding down, one is the force of gravitation and the other is a normal force applied by the surface the object is on. This force always remains normal to the surface on which the object moves.
The net force on the object if the normal force is also taken in to considered is one that is at an incline to the direction vertically downwards. As a result of this the object can accelerate downwards in an inclined direction.
It has to be noticed that as soon as the object reaches the bottom of the slope and it moves off it it starts to move in a direction vertically downwards. Here there is no normal force acting on it and it only the force of gravitation in a direction vertically downwards.