To be more exact, (I believe) 'Edit with Idle' runs the equivalent of '<python> -m idlelib -e <file>' where <python> is the current default python (ad <file> is the file right-clicked on).  Idle just goes alone for the ride.  You are proposing more or less that <python> be replaced with 'py'.

The problems with this are that it is still opaque which version of python (and hence Idle) will be run, there is no way to select the version to be run, most people do not use #! on Windows, especially beginners, and some people want to be able to open, edit, and run a file on both 2.x and 3.x (currently most often 2.7 and 3.4).

This same issue has come up on stackoverflow.  To me, a much better solution would be an explicit 'Open with Idle x.y' on the context menu for each version of Idle installed.  This would be explicit and allow version selection.  (I am obviously proposing that the 2.7 and 3.4 installers be tweaked also.)