In Joseph Conrad's novel, Heart of Darkness, the pilgrims are not slaves.
First of all, the black men who are slaves are shackled together. Marlow first sees this vision of "hell" at the Lower Station. These men are starving, with a look of death about them. They are prisoners, they are treated badly, and forced to work while guarded by white Company men. They certainly are not allowed to possess weapons of any kind.
The title of "pilgrim" is ironic because pilgrims have always been associated with those who make a long journey to visit a holy shrine or a destination with religious significance—as an act of worship. The pilgrims in Heart of Darkness are anything but spiritual beings. They are "cynics" who believe that "goodness and faith [are] unrealities."
The "pilgrims" are actually Company men. They look like pilgrims because they carry staves (long sticks or poles) with them wherever they go. This is as far as the comparison goes. They also carry rifles. From the steamboat, they fire indiscriminately into the air or jungle foliage, while their guns rest on their hips. They have no regard for the natives, Kurtz, or even Marlow. They are Company employees, who wish to improve their standing within the Company, but have no desire to work.
They are called pilgrims based upon their appearance, but they are not slaves.