> if the future is cancelled or finished, control is yielded back to the caller with the condition's lock held.

Hmmm...I don't agree. I assume you are looking at this code:

with f._condition: # Lock the Future; yield if completed or add our Waiter
                if f._state in [CANCELLED_AND_NOTIFIED, FINISHED]:
                    yield f

Note that the context manager will be called in this case to release the lock before f is yielded to the caller.

class MiniContext():
    def __init__(self):
        pass

    def __enter__(self):
        print('Hello')

    def __exit__(self, *args):
        print('Goodbye')

def gen():
	with MiniContext():
		yield 1

print(next(gen()))

prints:

Hello
Goodbye
1