File → Load configuration file → Choose your millproject file
Entries containing comments, like the line below:
zwork=-0.05mm # Z-coordinate at which engraving happens
will trigger error message:

The actual parameter (zwork in example above) is not changed. Separate error message pops up for every commented line, which is very annoying.
Lines with trailing comments are perfectly valid for pcb2gcode. Excerpt from man page:
Instead of passing all options on the command line, nearly all options can be stored
in a file named millproject. There, options are given one per line as option=value
pairs (without the two dashes), and can be separated by blank lines and commented
(everything after a `#` character is treated as a comment)