Until a recent Constitutional Court decision, it was an automatic loss of South African citizenship if you naturalised in another country without specifically requesting retention. After that ruling, the process is no longer automatic, but a number of people chose to renounce it regardless so as to avoid any potential impact of extra-territorial application of, for instance, tax law. [0]

Members of Parliament have asked South Africa's government whether Musk is still a South African citizen, but that information is protected by South Africa's privacy laws. So we won't ever know for certain unless he reveals it. [1]

[0] https://www.cliffedekkerhofmeyr.com/en/news/publications/202...

[1] https://pmg.org.za/committee-question/28275/