Why not to take it into account? 

Imagine that someone wants that requests to "ovinnik.canonical.com" should bypass proxy and requests to "ubuntu.com" souldn't. I don't know what for, it's just an assumption. 
He adds a hostname "ovinnik.canonical.com" into <proxy bypass list> and checks requests in IE. He sees that requests to "ovinnik.canonical.com" bypass proxy and requests to "ubuntu.com" go via proxy. And it's ok.
But suddenly he discovers that requests in urllib to "ubuntu.com" bypass proxy and it's unexpected. 

I think this behavior of urllib should be at least optional.