Is indentation of #if & #endif directives an important readability convention?
I think it makes sense this way, because the #if directives are pretty much outside of the normal syntax. For example, you can write something like:

#if DEBUG
    if (CheckConditionDebug())
    {
        DoADebug();
#else
    if (CheckCondition())
    {
        DoA();
#endif
        DoB();
    }


This is valid code in both states (DEBUG defined or not), but there is no good way to indent the directives.

Note: I'm not saying that this is a good use of #if, just that it is a possible use and that it makes sense to take this into account.