No, you can by no means play games through the memory card slots A or B. The SD card is connected to the Wiikey chip and that is wired to where the disc drive plugs in.
And yes, you must use the WBFS Manager to put games on your SD card. The reason is because your SD card must be formatted to the Wiikey's special format that Windows doesn't recognize. It can only be done through their program. Any more questions, please ask. Please...