OK, found the difference between 3.2 and 3.3:
The ImportError exception is still alive when atexit handlers are called, with its __traceback__, and all local variables in Python frames.
And since 3.3 the import system is built with Python functions...

More exactly, I could find the incomplete 'wow' module in sys.last_value.__traceback__.tb_next.tb_frame.f_back.f_back.f_back.f_locals['module']

But all this is not really related to the current issue.
Things should be better in the future, when modules are cleared with true garbage collection.