Python often defaults to the practical over the strictly-conforming (unless there is a 'strict' flag :)  We generally follow the lead of the browsers in implementing our web related modules.

The situation here appears to be a real mess.  Here's an interesting overview on the just the DNS question:

http://networkadminkb.com/KB/a156/windows-2003-dns-and-the-underscore.aspx

Given that changing this would be a backward incompatible change, I recommend closing this as won't fix.  I suspect the long term trend will be that everyone will eventually accept underscores, regardless of what the RFCs say.