I figured out the solution after doing some research.
In the middle sidebar, right click a note, hover over “Copy Note Link” and on the keyboard hold down “alt/option”. It will change to “Copy Classic Note Link”, click that. The format should be evernote:///view/~
In Slack, at the bottom of a window, click on Hyperlink button. In "Add link” window, input some referral text, and for the Link input the Evernote Classic Note Link.
You will see a pop-up “Open link to app. Check “Always open links from Evernote” and then click on “Open Link” button
This should open the note within the Evernote app, not a browser. Previously when I clicked on "Copy Note Link" it would always open a link to Evernote Web in the browser, which was frustrating.
PS. I'm using Evernote Legacy version on Mac.