There’s no setting to control this directly, but I created a doricolib file which will add a functioning Chord Symbols Slash Font Font Style.
Reducing the size of the slash font has the effect of tightening this gap up a bit. Doricolib files need to be installed in your DefaultLibraryAdditions folder. In Windows this lives at Users\yournamehere\AppData\Roaming\Steinberg\Dorico 5\DefaultLibraryAdditions. I posted more detail about how this works, and how to modify the file to fit your font settings in this thread.
Chord Symbols Slash Font.zip (997 Bytes)