If the intention is to just concatenate it.

using str.format():

MyID = 'X12345'    
MasterFile_Name = r'C:\Users\ABC\{}\DEF\File - Test.xlsx'.format(MyID)    
print(MasterFile_Name)

The whole misconception about python's raw strings is that most of people think that backslash (within a raw string) is just a regular character as all others. It is NOT. The key to understand is this python's tutorial sequence:

When an 'r' or 'R' prefix is present, a character following a backslash is included in the string without change, and all backslashes are left in the string

So any character following a backslash is part of raw string. Once parser enters a raw string (non Unicode one) and encounters a backslash it knows there are 2 characters (a backslash and a char following it).

This way:

r'abc\d' comprises a, b, c, \, d

r'abc\'d' comprises a, b, c, \, ', d

r'abc\'' comprises a, b, c, \, '

and:

r'abc\' comprises a, b, c, \, ' but there is no terminating quote now.

Last case shows that according to documentation now a parser cannot find closing quote as the last quote you see above is part of the string i.e. backslash cannot be last here as it will 'devour' string closing char.