For Python 2.7, we will not change behavior, even if unexpected. Instead, the sys.exit-docs should be adjusted and 

    - warn about the fact that nothing is written to stderr
      if sys.exit(msg) gets called from a non-primary thread, and

    - note that SystemExit raised in a non-primary thread lets the
      thread exit silently.

I have attached a corresponding patch, please review my wording!