Well I just finished embedding Python in my application but even after calling Py_Finalize the debugger shows tons of memory leak. I just called Py_Initialize and then Py_Finalize then after exiting the application, the Visual C++ debugger shows tons of memory leaks and Python is to be blamed:

Detected memory leaks!
Dumping objects ->
{3478} normal block at 0x00000000026343E0, 912 bytes long.
 Data: <       po       > 00 00 00 00 00 00 03 70 6F FB FB FB FB FB FB FB 
{3476} normal block at 0x0000000002633DA0, 912 bytes long.
 Data: <       po       > 00 00 00 00 00 00 03 70 6F FB FB FB FB FB FB FB 
{3474} normal block at 0x000000000261AC70, 912 bytes long.
 Data: <       po       > 00 00 00 00 00 00 03 70 6F FB FB FB FB FB FB FB 
{3472} normal block at 0x000000000261A620, 912 bytes long.
 Data: <       po       > 00 00 00 00 00 00 03 70 6F FB FB FB FB FB FB FB 
{3471} normal block at 0x000000000261B540, 912 bytes long.
 Data: <       po       > 00 00 00 00 00 00 03 70 6F FB FB FB FB FB FB FB 
{3470} normal block at 0x00000000025C66B0, 800 bytes long.
 Data: <        m       > 00 00 00 00 00 00 03 00 6D FB FB FB FB FB FB FB 
... // Skipped posting more memory leaks
...

{63} normal block at 0x0000000001D927D0, 108 bytes long.
 Data: <C : \ U s e r s > 43 00 3A 00 5C 00 55 00 73 00 65 00 72 00 73 00 
Object dump complete.
The program '[6696] cScripting.exe: Native' has exited with code 0 (0x0).

Upon Googling, seems like am not the only one. I have attached a small project that demonstrates it. It's a x64 build and you'll have to adjust the path of the lib folder