The title says it all. I have checked the shortcuts, Ctrl+D and Ctrl+Shift+D are in there. I need to add "#" at the front of several lines.

Please ensure that Kate has recognised the type of file you are editing - it needs to be saved in order for this to happen.

I change the extension to .sh and this function work again. However, I'm writing a PyMOL script, therefore, if possible, I want Kate comments out for me without changing the extension of something similar with that.

If kate already has highlighting for that, make sure it is recognized (you can configure it in Modes & Filetypes in the settings dialog, I think under Open & Save).
Otherwise, you can create a new highlighting spec for that file format.

Greetings!