It looks like a bug to me. It's certainly not documented, as far as I can tell. And I haven't seen it in other Lisps.
And I see the same behavior back through Emacs 20! That's a long way back.
If you don't get a contrary opinion with an explanation then consider doing M-x report-emacs-bug. Emacs developers will tell you whether it's a bug.
I'd actually expect the behavior of \, within a backquoted list to just insert the symbol ,. In other words, I'd expect `(a \, 42) to return this list of three elements: (a \, 42).
The code in backquote.el that causes this is this bit of the definition of function backquote-process: (eq (car s) backquote-unquote-symbol), where backquote-unquote-symbol is the symbol \,.