In a large dutch oven or heavy bottomed saucepan melt the butter over medium heat. Whisk in flour and continue to whisk almost constantly until it reaches a medium brown color (like peanut butter) and has a nice toasty smell. If it is browning really fast turn down your heat so it doesn't burn.
Add the chopped onion, bell peppers, celery, garlic and cajun seasoning. Increase heat back up to medium if needed and cook for 3-5 minutes just to get the vegetables a little head start. Slowly whisk in the chicken broth and continue to whisk until there are no lumps. Transfer to slow cooker.
Stir in sausage, okra, and bay leaves. Season chicken with salt and pepper and place in slow cooker. Cover and cook on low for 4-6 hours or until chicken can be easily shredded.
Remove chicken to cutting board and shred. Transfer back to slow cooker and stir in shrimp. Cover and cook for 15 minutes. Turn off heat and let stew settle for 5 minutes. If any fat comes to the surface remove with a spoon if desired.