[GaByM]

#define does not act like a normal variable

Once you #define something it is present in the whole documnet until you use #undef.
This is your problem:

PHP код:

public OnFilterScriptInit()
{
    #define teszt
    //here you defined it
    return 1;
}
public OnFilterScriptExit()
{
        //if you do a check here teszt is defined at this line
    #undef teszt
       // after this line you no longer can use teszt because there is no longer defined
    return 1;
}
CMD:teszt(playerid, params[])
{
       //this doesn't work because testz was undefined.
    #if defined teszt
        Msg(playerid, "Work");
    #else
        Msg(playerid, "Don't work");
    #endif
    return 1;
} 


Read more here: https://sampforum.blast.hk/showthread.php?tid=570933
I know it is a lot to read, but at least try to read the first few paragraphs.