No it didn't - I had not built the _msi module when I built Python for some reason. I have built _msi now, and everything works. Sorry for the false alarm.

Arguably, the command shouldn't fail, it should simply omit the bdist_msi command from the listing. But as _msi is part of Python, the installation is broken if it isn't present so I guess that handling the issue gracefully isn't really important. (I assume the missing _msi extension isn't an issue on Unix).