I happened to be looking at my options for C/C++ and saw that there is an option called "Trailing backslash continues string across lines". That option was unchecked for me, so I created a small test file like the one hp posted originally.
With that option turned off, SlickEdit did display the strings as unterminated. But with the option turned on, SlickEdit correctly determined that the strings were properly terminated. For me, the preprocessor directives had no effect on it. But I'm using the new v14.0.2.1 Release Candidate so perhaps that is why it's a little different for me.
So, hp, try enabling that option to see if it fixes the issue.
I'm not sure why the option was turned off in my case. I don't think I ever unchecked it, so I'm wondering if that is the default setting. For C/C++ the default setting should be to have that option turned on.
Note: there are actually two separate options, one for double-quoted strings and the other for single-quoted strings. See the attached image of the C/C++ Color Coding options.