This seems to work:

$test ="\\AFZ\\BJK \\\*\\AFZ...\*\\";
$span = 0; # Span is a span counter
foreach( split(/(\\\*|\*\\)/,$test) ){ # Split on spans keeping the co
+mmenttags
    if($_ eq '\\*'){ # See if its a comment-start
        $span ++;
    } elsif($_ eq '*\\'){ # if it's a comment-end
        $span --;
    } elsif($span eq 0){ # Only if not in comment
        $_=~s/\\//igs;
    }
    $newtest.=$_;
}
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Edited: Made an elsif instead of several ifs.
Edited: I got a negative vote, i guess because the lack of comment. I found the question a challenge for myself, but i forgot to share the thoughts. Therefor more comment added.