I'm going to state this one again: missing modules are *NOT* a build failure.

It is pretty common to not install a certain library (or headers for them), if you don't need/want the Python module using it.  (And editing Modules/Setup to add modules that setup.py detects as not buildable won't make them buildable in 99% of cases.)

As for the dl module, the existing check in setup.py is just fine, especially since dl is deprecated and not present anymore in 3.x.  There will always be ways to shoot yourself in the foot.