This almost qualifies as a FAQ :)

In 2.7 (and in 3.x, though we've added some additional platform independent stuff there), strptime supports what the platform supports, and this is documented: "The following is a list of all the format codes that the C standard (1989 version) requires, and these work on all platforms with a standard C implementation. Note that the 1999 version of the C standard added additional format codes."

Windows, for one, is not a standard C implementation in that sense.

Note that the python3 documentation is a bit clearer about this than the 2.7 docs.  If you want to open a PR to backport the doc improvements, feel free to reopen this issue.