'sl' is pronounced like that (sjl) in the Oslo region. It's not an error, but whether or not it's correct is up to you. Given that Bokmål isn't a spoken language, you can pronounce it either way and be correct, however, if you want to speak as close to the Oslo dialect as possible, you should say shl.
This does also mean that 'Oslo' is pronounced Osjlo in Oslo.
(Which technically is an incorrect pronunciation, given that it's [etymologically] a compound word; os+lo.)