That's a lot of questions, and luckily the PFSRD page about Animated Objects may answer them. You've assumed that all animated objects must have slam attacks, and that's not always true. I'll address your question piece by piece.
nor is this a valid dice amount for a slam, so is this an aspect of this specific creature
The Headman's Scythe is a scythe, and the standard medium-sized scythe deals 2d4 slashing damage with a x4 critical multiplier. It does not have a slam attack. In general, an animated weapon deals the equivalent damage of its type of weapon.
does this include ranged weapons?
Yes, any weapon can be animated, including mounted weapons and siege weapons. I don't know what action it takes to reload itself, but I would guess that it takes the same amount of time for someone else to reload it (for example, an animated crossbow).
What happens if the upgrade to damage is taken?
If you're referring to the "Improved Attack" special ability, then you use the damage dice as if it was one size category larger. According to the values specified in the Lead Blades spell, if you upgraded the Scythe this way, then you would replace the 2d4 dice with 2d6 dice. From an optimization standpoint, you may want to pick a weapon with better damage dice, such as a greatsword.
Can it be used on the weapon attack, or only the Slam attack?
You choose which attack to improve. An Animated Object may have more than one attack, and so you can spend multiple Construct Points to take this upgrade again, for a different attack.