I see. But depends.exe dependency walker somehow finds the exact code that is failing, so there should be a way to do extra investigation in case of error.

py2exe has a custom .dll loader that bypasses LoadLibrary(Ex) calls from that I can see at  http://py2exe.svn.sourceforge.net/viewvc/py2exe/trunk/py2exe/source/

Even if this code can't be used as a replacement for LoadLibrary calls - it can be very useful for troubleshooting problems in case of missing dependencies. It will also help when embedding python or developing extensions.