With a YubiKey 4 you shouldn't be storing OATH secrets in the slots, they should be stored in the OATH applet (if you didn't change any of the Yubico Authenticator preferences, they stored your Amazon OATH credential to the OATH applet, not to slot 1). Slot 1 is the Yubico OTP credential that is pre-programmed on all YubiKeys (44-character password beginning with "cccccc").
1) Do, definitely not in slot 2, you programmed the Challenge-Response credential. You can only have one credential per slot. To be clear, the 2 slots are what you can program using the YubiKey Personalization Tool. Slot 1? Maybe. If you want to overwrite the Yubico OTP credential that is pre-programmed there, or if you did in fact store your Amazon credential there, you don't want to try overwriting it with a static password.
2) Yes, you can set a configuration protection access code after the fact with the Personalization Tool. Set it under "Settings", then click "Update Settings", select the configuration slot, and click "Update." Make sure you write the access code down somewhere safe. You will not be able to make changes to that slot in the future if an access code is set and you forget it (there is no way to bypass this or "reset" the YubiKey).
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