After a period of reflection, I am currently no longer considering a direct kinship between Iranian and Slavic languages, but rather turning to the existence of another transitional language between Iranian and Slavic. Cimmerian could be the best candidate.
In the Irano-Slavic connection, I noticed the following problems:
In terms of vocabulary, Iranian languages do not tend to move closer to Slavic languages. For example, the Slavic words ogień, czarny, and the Indo-European roots lewbh-, leyp-, have cognates in Sanskrit, but not in Iranian. In other words, the vocabulary system of Iranian seems to be only a subset of Indic languages. While lacking a portion of Indic vocabulary, Iranian does not reflect much additional cognates with Northwest Indo-European.
Phonologically, there are two important features of Iranian that make it distinct from Slavic. One is the tendency of s to become h, which also occurs in Greek, and the geographic location of Iranian and Greek is not particularly far away, so it can be explained. The second trend is the large number of plosives becoming fricatives, which is very difficult to explain, since similar changes are most typical only in Germanic languages.
Proto-Indo-European deywos seems to have been demonized only in Iranian, and most likely started in Proto-Iranian. Even in Ossetian and Khotanese, outside the immediate sphere of Zoroastrian influence, the word (Indo-European "sky") has a negative meaning. The Slavic cognate divo, which means miracle and wonder, has no obvious negative meaning. Finally, native Slavic gods, such as Veles and Perun, are also apparently more closely associated with Baltic mythology. Whereas in Iranian mythology, the connection to Balto-Slavic mythology is somewhat skipped, and the long winter is strikingly similar to Germanic mythology.
So the key question is to explain the phonological and mythological status of Iranian in the Indo-European system, especially the fricatives. Mythologically, the demonization of deywos is clearly due to conflict between Proto-Iranians and Proto-Indo-Aryans, but the irregular connection with Germanic is difficult to explain.
So, in Eurasian area, who is really close to Balto-Slavic? I consider Cimmerian first. For example, in the Cimmerian word Sandakšatru, the Iranian s-h and plosive-fricative features do not appear. Next I consider the Scythians. The Indo-European Father Sky is still worshipped by the Scythians, and it is called Papaios. Here I consider that the Cimmerians/Scythians and the later Alans (Ossetians) are not the same. The former directly originated from the Srubna culture of Eastern Europe, while the latter, like Avestan, entered Central Asia and had conflicts with the Indo-Aryans, and after participating in phonological and mythological innovations, re-migrated back to Eastern Europe. After AD, the Alans (Ossetian related) came into contact with Slavs again, which did make an impact on Slavic mythology. For example, the original word for sky god became the word for miracle (at least watered down), and "bog" was also borrowed from Iranian. Finally, it also brings a certain philosophy of dualism to Slavic mythology.