My first bug reported here, so might not be perfectly following the rules :)

Similar to issue 19494 ("Add urllib2.HTTPBasicPriorAuthHandler for use with APIs that don't return 401 errors") - but related to digest authentication. 

The sending of the auth header at all times works when using basic authentication, but not with digest authentication (verified with wireshark).

IMHO it should be the same behaviour with digest authentication - I think the change needs to applied there as well.

example code to check:
password_mgr = urllib.request.HTTPPasswordMgrWithPriorAuth()
password_mgr.add_password(None , 'http://www.example.org", "supercow","blablabla",is_authenticated=True)
auth_handler = urllib.request.HTTPDigestAuthHandler(password_mgr)
opener = urllib.request.build_opener(auth_handler)
urllib.request.install_opener(opener)