I read again the following blog post:
http://blogs.msdn.com/b/oldnewthing/archive/2011/12/16/10248328.aspx

I understood the purpose of PROC_THREAD_ATTRIBUTE_HANDLE_LIST.

Let say that two Python threads create a Popen object with a pipe for stdout:

* Thread A : pipe 1
* Thread B : pipe 2
* Main thread has random inheritable files and sockets

Handles of the both pipes are inheritable. Currently, thread A may inherit pipe 2 and thread B may inherit pipe 1 depending exactly when pipes are created and marked as inheritable, and when CreateProcess() is called.

Using PROC_THREAD_ATTRIBUTE_HANDLE_LIST, thread A will only inherit pipe 1, not pipe 2 nor inheritable handles of the other threads. Thread B will only inherit pipe 1, no other handle. It does not matter that CreateProcess() is called with bInheritHandles=TRUE nor that there are other inheritable handles.