That won't work. Those two characters in that order and everything that follows up to and including the chars */ in that order are consumed by the lexical analysis phase of the tokenizer, which thinks you're inserting a comment in your code. The trigger for this action is the / followed immediately by the *. That is why no amount of macro quoting will make any difference.
an old post, but one with outstanding value and issues ...
%let a= / ;
%let b= /&a.*;
%put %superQ(b) ;
b is established as //*
an alternative to /*.dat as a definition of all dat files, would be /?*.dat
Separating / and * with ? should not reduce the selection of files selected but will remove that troublesome /* combination