Is "socat" a cygwin utility?  In this case, you should use the python interpreter built for the cygwin platform.

I'm quite certain that the standard win32 python cannot work the way you want.  Keep in mind that on Windows, file descriptors are emulated; only HANDLEs are really inherited between processes.  And I know that the Microsoft C run-time only initializes file descriptors 0, 1 and 2 from the three standard handles.

The cygwin compatibility layer certainly does it differently and uses other ways to pass file descriptors between processes.