In the raw string syntax, escape sequences have no special meaning (apart from a backslash before a quote). The characters \ plus n form two characters in a raw string literal, unlike a regular string literal, where those two characters are replaced by a newline character.
An actual newline character, on the other hand, is not an escape sequence. It is just a newline character, and is included in the string as such.
Compare this to using 1 versus \x31; the latter is an escape sequence for the ASCII codepoint for the digit 1. In a regular string literal, both would give you the character 1, in a raw string literal, the escape sequence would not be interpreted:
>>> print('1\x31')
11
>>> print(r'1\x31')
1\x31
All this has nothing to do with parentheses. The parentheses do not alter the behaviour of a r'''...''' raw string. The exact same thing happens when you remove the parentheses:
>>> a = r'''\n1'''
>>> a
'\\n1'
>>> print(a)
\n1
>>> b = r'''
... 2'''
>>> b
'\n2'
>>> print(b)
2