If you run scp with the '-v' (verbose) you can see what command is
actually run. It should be in the first line of output.

Without using any \ or " (or ') the filename are treated by the local
shell as 3 arguments to scp instead of one; the filename.

In the first case the \ are expanded by the local shell and the result
are passed to scp. I.e \\ becames a \ and '\ ' becames ' ', so the
string that are passed to scp is actually 'testmachine:File\ with\
spaces', which are then expanded on the remote side, using the same
rules.

In the second case the \ are not expanded by the local shell because of
the ". The string (including \) are thus expanded on the remote side.

There is actually a third version you can use (at least for the moment):

scp testmachine:"'File with spaces'", i.e using both single and double
quotes. The first pair is removed by the local shell and the second pair
on the remote side.

-- 
scp doesn't report correct filenames with spaces in verbose mode
https://bugs.launchpad.net/bugs/89945
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