assuming you are talking about /etc/sysconfig/iptables , hash is indeed the comment mark, and works fine. In my file on this system all comment lines have a hash as first character on the line though, so perhaps it doesn't like end-of-line comments but only accepts full lines of comment.
FYI, using iptable comments commands are even more useful as they are displayed whenever you actually list the rules (e.g. via "service iptables status). For example:
-A INPUT -s 10.0.0.2 -m comment --comment "I am an example comment" -j DROP