You used the following command:
nnoremap <leader><cr> :execute "normal! i\\\<cr>\<esc>"
Here is the command which does what you want:
:nnoremap <leader><cr> :execute "normal! i\\\n"<cr>
<cr> has special meaning to
:abbrev and a couple others). Most of the rhs of a mapping is processed literally, as if you were typing those characters. With
:map acts as if you hit Enter. That leaves you submitting
:execute "normal! i\\\ ... an incomplete command and thus you get the "Missing quote" error.
\n has no such special meaning, it's just another character and is passed to
:execute in the string parameter.
Second, you don't need to explicitly escape just like you wouldn't if you directly entered
:execute "normal! i\\\n". Once you hit Enter in that case (which we're doing in the mapping with the
<cr> at the end) the insert occurs and you are returned back to command line.
If you really want to use
<esc> ;) here's another way to do it...and I'm sure some folks would prefer this version...
:nnoremap <leader><cr> :star<cr>\<cr><esc>
:star is short for