exec()ing a line which causes a DeprecationWarning causes the warning 
to quote the file exec() occurs in instead of the string.

Demonstration of the issue:
http://codepad.org/aMTYQgN5

In 3.1, I get
>>> exec("1/0")
Traceback (most recent call last):
  File "<pyshell#5>", line 1, in <module>
    exec("1/0")
  File "<string>", line 1, in <module>
ZeroDivisionError: int division or modulo by zero

In your example, would you really prefer that the warning message start with "<string>1" (or the 2.x equivalent) instead of "t.py1"? If I were running a multi-file app with warnings turned on, I would prefer the latter. The message "DeprecationWarning: raising a string exception is deprecated" is certainly enough to suggest that one search the file for 'raise'.

In any case, this would only be a bug if it disagreed with docs or if this were different from the usual behavior with deprecation warnings. It is too late for new features in 2.x and this does not apply to 3.x.

Searching the file for "raise" is sort of pointless, since exec() takes a string which might have come from anywhere, and there might be any number of exec() calls in the module. See: http://codepad.org/7EBMhb0O

There are at least two reasonable answers:

<string>:1: DeprecationWarning: raising a string exception is deprecated
  raise 'two'

or:

t.py:7: DeprecationWarning: raising a string exception is deprecated
  exec(x)

Either one would be fine, but randomly choosing the first line of the module where exec() is called is just nonsense.

If you want one that applies to Python 3.x, here you go: http://codepad.org/Mq1eZyoE

New features only in 3.2