Modify your regex so that it allows for leading whitespace.
sed -e '/^[ \t]*#/d'
This regex will match lines beginning with 0 or more spaces or tabs (in any order), followed by a hash sign.
GNU sed also supports symbolic names:
sed -e '/^[[:space:]]*/d'
Which includes all whitespace characters, including the funny unicode foreign language ones. That's less portable, however.