The sources for cmucl contain things like _"abc" and _N"abc" to support localization. However, the default reader doesn't know to deal with these, so you can't C-c C-c on functions in the cmucl sources.
Appended is some code for swank-cmucl.lisp to set the correct readtable for compiling these sources. I'm not that familiar with how slime handles all of this, but this seems to work.
Ray