The line continuation character is not properly treated by ruby-mode. Here's how the indentation after `\` works now:
MSG = 'Separate every 3 digits in the integer portion of a number' \
'with underscores(_).'
Pretty sure the second line should be indented one level, since we're continuing the statement from the previous line:
MSG = 'Separate every 3 digits in the integer portion of a number' \
'with underscores(_).'