Ok, I raised the "errno 0" issue on the openssl mailing-list, and I had a nice response by Darryl Miles here:
http://www.mail-archive.com/openssl-users@openssl.org/msg60710.html

The bottom line is that any "socket error" return from unwrap(), that is any "SSL_ERROR_SYSCALL" return from SSL_shutdown(), means that the socket is closed (abruptly or not). In this case, we can't do anything except ignore the error in test_ftplib.

We should also remove the special casing hack in _ssl.c, even though a socket error with "errno 0" isn't particularly informative.

Here is a new patch.