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Yes, it is by design.  If you read the source you will notice that the 
comment mentions that the _DummyThread object is flagged as a 
daemon thread and thus should not be expected to be killed.  The 
comment also mentions how they are not garbage collected.  As stated in 
the docs, dummy threads are of limited functionality.

You could cheat and remove the entries yourself from threading._active, 
but that might not be future-safe.  I would just make sure that all 
threads are created through the threading or thread module, even if it 
means creating a minimal wrapper in Python for your C++ code to call 
through that to execute your C++ threads.

If you want the docs to be more specific please feel free to submit a 
patch for the docs.  Or if you can come up with a good way for the 
dummy threads to clean up after themselves then you can also submit 
that.

But since the source code specifies that this expected and the docs say 
that dummy threads are of limited functionality I am closing as "won't 
fix".