I did manage to equip some iron shuriken in the ammo slot, but I need some kind of pouch/belt to use them. Can we carry such pouch/belts? If so, which? I thought we couldn't use those slots at all, but now I could equip something in the "Ammo" slot and automatically assumed that there had to be something else to use with the iron shurikens ...or is this a bug in the game?
No, none. It's not really a bug. Thrown ammo has no stat/skill requirement... it is based of the skill requirement of the weapon. Basically, it's an inventory slot where you can only store ammo.
I've seen ammo bags with stats on them though. Only we will never be able to eq them becuase it skill is thrown weapon. Maybe there will be potions with stats we can equip in the ammo slots.
Correct. Ammo has no stat requirement. You can equip hammers, arrows, shurikens etc in the ammo slot but you cannot use them... The ability to use them is limited by the requirements of the bow/pouch.