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I was bitten by the same problem.  My workaround (in a
Tkinter application) is given below.

Would it make sense to modify poll() to simply add the union
of r and w to e, and call handle_error() for any fd in e?

Workaround:

        try:
            self.connect(send_addr)
        except socket.error:
            self.handle_error()
        if sys.platform == 'win32':
            # Win98 select() doesn't seem to report errors for a
            # non-blocking connect().
            self.__connected = 0
            self.__frame.after(2000, self.__win_connect_poll)

...

    if sys.platform == 'win32':
        def __win_connect_poll (self):
            if self.__connected:
                return
            e = self.socket.getsockopt(socket.SOL_SOCKET,
                                       socket.SO_ERROR)
            if e in (0, errno.EINPROGRESS, 
errno.WSAEINPROGRESS):
                self.__frame.after(2000, self.__win_connect_poll)
            else:
                try:
                    str = socket.errorTab[e]
                except KeyError:
                    str = os.strerror(e)
                try:
                    raise socket.error(e, str)
                except socket.error:
                    self.handle_error()