Every time I insert "\\" in album or title tag, it just disappears. Is it some kind of special character combination? Is there any way to achieve title like this: //M\\ — Health | Last.fm
The double backslash is used by MP3tag to indicate (and create) a multivalue field.
If you want to still see something similar, then the only suggestion is to use a character that looks like a backslash but isn't one.
Exactly. Because @Gapa will soon find out, that he/she get in trouble by renaming the filename with two slashes before and two backslashes after the song title //M\\ too. 
I use the _ sign
It know it does not look like it at all - but it is not an illegal character and is right there on the keyboard ready to be used