The reference documentation appears to be incomplete regarding the preprocessor. It only mentions the #define and #include directives.
“#if”, “#else” and “#endif” apear not to be documented in the reference - are they documented anywhere else in the Arduino documentation?
I found chapter 17 of the O’Reilly Arduino cookbook online book;
it mentioned that C preprocessor is documented at http://gcc.gnu.org/onlinedocs/gcc-2.95.3/cpp_1.html
The arduino reference documentation should either link to that documentation or document the missing directives itself.