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This is undocumented, hence unsupported.  pickle.py doesn't 
allow it either.  So any enhancement first requires a debate 
about whether this should be a supported use (and, if it is, 
pickle.py needs to be changed to match it).  Before then, any 
use of this is at-your-own-risk.

In the meantime, you *can* set the protocol in this 
undocumented mode:

>>> import cPickle
>>> p = cPickle.Pickler(2)
>>>

Works fine.  The constructor does undocumented type-
sniffing on its argument to determine whether it was passed 
an integer (which is taken to be a protocol argument), or not 
(then it's taken to be a file-like object).

There's no claim here that this doesn't all suck, but since it's 
all undocumented and unsupported, it's allowed to suck 
<wink>.