Bash never evaluates data as code, but it does some things that could make you think it does (namely word splitting and globbing). Since \
is part of shell syntax, it's not reinterpretted as an escape sequence when you expand the variable.
Here's how you should do it:
DIR=~/"Folder/With Spaces" # ~ doesn't expand in quotes, and there's no "\".
CMD=(find "$DIR" -type f) # use an array to keep track of words
# Print the words escaped so you know what will actually be executed
printf "%q " "${CMD[@]}" | cat -v
echo
while IFS= read -r line # don't split or interpret words
do
echo "$line" # use quotes to prevent globbing and word splitting
done < <("${CMD[@]}") # run the command in the array without spacing issues