That was a design decision made by Guido (iirc), and even if it might seem not obvious at first, it's probably just because not everyone is Dutch.
Many people would probably vote on sequence.join(sep) too, but it's unlikely that another way to do it will be introduced.

The doc for assertRaises[0] also is quite clear and even includes an example where the exception args are checked.

[0]: http://docs.python.org/py3k/library/unittest.html#unittest.TestCase.assertRaises