In projective Geometry I learned that families of parallel lines meet at a point at infinity and therefore, all the possible directions of parallel lines describe a line at infinity. If I understood this correctly there is a line at infinity with two distinct points on it and my question is: is there any mathematical sense in talking about the distance between these two points?

Assuming you are talking about the projective space over a field with characteristic 0, for example the real or complex numbers.
One can define projective space as the quotient of a sphere $ q: S^n \to \mathbb P^n $, in which opposite points are identified.
A sphere has a metric, a notion of the "distance" (or angle) between two points $ d: S^n \times S^n \to \mathbb R^n $.
You can descend this distance metric to projective space by taking the minimum of the distances between the "parent" points: $$ d^\prime(a, b) = \min_{a^\prime \in q^{-1}(a), b^\prime \in q^{-1}(b)} d(a^\prime, b^\prime). $$
I believe that for two points on a "line at infinity", this gives the angle between their two sets of parallel lines, but I am not sure.
Note that this does not extend the usual euclidean metric on a plane. If you fix a "line at infinity" in $ \mathbb P^n $, and you want to extend the euclidean metric on the "plane that is not at infinity" in a continuous way, it does not really add any information.
This is easy to see by taking two points $ a $ and $ b $ at infinity, and sliding two different points $ c $ and $ d $ in a plane towards them. The distance between $ c $ and $ d $ goes to infinity, so the distance between $ a $ and $ b $ should be $ \infty $. In the same way, the distance between a point at infinity and a point that is not at infinity becomes $ \infty $.
The problem with this construction is that projective space does not have one "line at infinity", but rather, one can choose one line (or hyperplane, for higher-dimensional projective space) to be at infinity and the metric constructed here heavily depends on that choice.