It's a little more complex (and cumbersome) than it seems. And clearly, documentation isn't very helpful. First, there are two places where you can set up speed dial: on the device itself, and on the portal. Unlike all other OBi features, speed dials on the portal are shared across devices. So, if you generally control your device from the portal, speed dials will be pushed as well. Note, that 1 and 99 are not available as speed dial numbers.
In many cases, your VSP also allows to set up speed dials, complicating things even more.
With that in mind - tell us more, how did you set up speed dials?
Strictly speaking, # is not relevant to speed dial topic. However, if you don't press #, OBi will wait for ~7 seconds before it concludes that you finished dialing (See "Matching Against Multiple Rules in Digit Map" in Admin guide - one of few chapters that is actually written reasonably well). So you may as well press # to let the device know that you are done...