To say a substantially similar thing to the existing answers in very different words, quantum mechanics is now known to be a deeply nonlocal theory: you cannot carve the world up into subsystems moving around and containing hidden classical information obeying a classical probability model, without allowing that information to affect other information in other subsystems instantaneously at a distance.
It is a "relativistic" nonlocality, which means that the nonlocality can only be observed in correlations between two different experiments but those experiments' results need to be brought back together (by classical processes) into one place to detect that nonlocality. This forbids using QM to observably transfer information any faster than the speed of light. Sometimes this is explicit, so for example in "quantum teleportation" one party must send a couple bits of classical information to the other party for them to "descramble" the teleported state and then use it normally.
When Feynman says that the double slit experiment contains the heart of quantum mechanics, I think this is really what he is driving at. He is saying that this aspect of nonlocality is present even here. So for example the pilot-wave interpretations of quantum mechanics have the particle go through one or the other of the slits, but the fact that it could have gone through the other causes its pilot wave to pass through the other slit, and the interference on the pilot wave causes the electron to not hit the various "dead zones" on the detector screen. The pilot wave is itself a manifestation of this nonlocality, the electron goes through one slit but it can nonlocally "see" that the other slit was available to go through.
My favorite demonstration of this nonlocality is a game for a team of 3 people to try to beat us scientists. We, the people setting up the game, split the team into 3 rooms and then either set up a "control round" where the three are all given the same goal, call it Goal A, or "betrayal rounds" where one person is given this goal A but the other two are told to accomplish the opposite, call it Goal B, so that the one person is unwittingly "betraying" the other two because they have the wrong information about the goal. The 3-person team has to somehow detect and correct for this "traitor" if they want to win the round and accomplish the "true" goal B; but we can relativistically separate the rooms so that they cannot classically communicate with each other. Classical teams can satisfy at most 3 of 4 possible equations, so if we set up those 4 possibilities to be equally likely, they can only win a maximum of 75% of the time. Teams who share a quantum state can cooperate to win the game 100% of the time in theory -- today they would be limited sharply by our ability to keep these delicate "entangled states" truly "coherent" in ways that would allow them to actually win 100% of the time.
But the point is, we know the classical picture quite exhaustively; the classical picture of probability allows you to transform the above problem into one where we say to all three team members separately, "okay if we gave you goal A what would you answer? and if we gave you goal B what would you answer?" and then afterwards look at all four setups AAA, ABB, BAB, BBA and choose each one with a 25% probability, and we would have a 25% chance of hitting the one that they did not choose. The experimental-setup choice of "what situation are we setting up?" can "commute" with the "what is your strategy?" choice. In quantum mechanics, this commutation cannot happen in this way.