Yes, you may immediately place them in the show if you wish.
But the gray slots are optional. If you choose to not immediately fill them, you may spend an Attach action later in the game to fill them, one by one.
Of course, any colored-in Star or Ad slots are mandatory to fill during the Develop Show action.
Just played this for the first time last night and enjoyed it! But this came up for us, and we ruled in that game that you could only attach prerequisite stars/ads with the Develop action. Just read the rules on that again and they only mention adding prerequisites in the action. The example does show adding an optional ad with the Develop action, but I missed that one and think it's the only space that explicitly states that you can.