When I try to comment out this little code by triple quotation, 
I run into
SyntaxError: (unicode error) 'unicodeescape' codec can't decode bytes in position 29-30: truncated \uXXXX escape

ls_tex = []
ls_tex.append(r'\usepackage{mathtools}')
print(ls_tex)

Basically it is not possible to use r'\u' and comment it out with ''' or """. I think this should not be the case, this is an interpreter error.

This basically comes down to """\u""" not being a valid string.

I'm not sure why you'd expect this to work: triple quoted strings are not designed as a general purpose "comment out" facility, and as you've discovered, they don't work that way. What's inside a triple quoted string must be interpretable as a python string, which in this case it is not.

This "bug" is reported at least once a year, by different people. Maybe we should put something in the documentation, to the effect that

a) as Eric said, triple-quoted strings are not (meant to be used as) comments

b) if you nonetheless really want to use them that way, in most cases you _can_ get away with using r'''...'''.