> The man page for pf.conf says at some point:

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>

> "Any lines beginning with a # are treated as comments and ignored."

Yes, pf.conf(5) says that about the table files.
About the main pf.conf(5) file itself, it says:
     Comments can be put anywhere in the file using a hash mark (`#'), and ex-

     tend to the end of the current line.
> Now, if a comment line ends with "\", should the next line

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> be also treated as comment? I noticed this behaviour and I do

> not know whether or not it should work like that.

Well, because you used \ to end the line, that # is not at the start of a

line.  It is in the middle of a split line.  And the previously described

behaviour therefore hapens.
> Many times, when we are trying to test a different setup, we

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> duplicate a line, change something, and comment out the

> original line.

Well, the result is predictable.