Let me provide some clarifications from Caesars Property experiences.
Say what you will about the gambling, but the comp system is the most transparent of any of the casinos.
When at Caesars restaurants, I pay with comps at the point of sale. This eliminates the 8.15% sales tax. ... If I have limited amount of comps, which I generally do, I don't pay with Total Rewards for a massage because services are not taxed, so I don't experience the extra 8.15% value that I do with restaurants or retail purchases. If I have $250 in comps coming to me for a trip and have a $250 restaurant charge and a $250 massage, I will comp the food to stretch my mileage another 8.15%. ...
I don't use the burn comps unless I can cover the whole charge. You are taxed on the full amount of the bill, if your comps don't cover the max. I learned this the hard way a few years ago when I paid with comps and came up $1.25 short at Old Homestead. The $1.25 final bill came with a $28 tax. Ouch! ... I always choose to carry forward Total Rewards points if I can't pay the full bill.
Here is another tip: As a Diamond Level player, they take off 15% on spa services. But if you pay with a voucher, they won't reduce it by 15% because you are burning comps. So, say, a $550 couples massage would be discounted by $82.50 when you pay with card or cash. Or you can charge it to your room at the reduced price of $467.50 ($82.50 discount) and pay that with comps and get the best of both worlds.
That's why I say sometimes it's in one's best interest to pay with comps up front. Other times disadvantageous.