Platform that appeared warning is Vista Cygwin x86. Interpreter execution doesn't crash because _setmode function is supplied from cygwin1.dll that always linked.
Warning reason is header io.h [*] doesn't include to source file. Therefore I wrote two patches for 3.7 and 2.7.

[*] https://msdn.microsoft.com/en-us/library/tw4k6df8.aspx (Cygwin also avaliable)

build log on 3.7:

gcc -c -Wno-unused-result -Wsign-compare -DNDEBUG -g -fwrapv -O3 -Wall -Wstrict-prototypes    -std=c99 -Wextra -Wno-unused-result -Wno-unused-parameter -Wno-missing-field-initializers   -I. -I./Include    -DPy_BUILD_CORE -o Modules/main.o Modules/main.c
Modules/main.c: In function 'Py_Main':
Modules/main.c:599:5: warning: implicit declaration of function '_setmode' [-Wimplicit-function-declaration]
     _setmode(fileno(stdin), O_BINARY);
     ^
gcc -Wno-unused-result -Wsign-compare -DNDEBUG -g -fwrapv -O3 -Wall -Wstrict-prototypes    -std=c99 -Wextra -Wno-unused-result -Wno-unused-parameter -Wno-missing-field-initializers   -I. -I./Include    -DPy_BUILD_CORE  -I./Modules/_io -c ./Modules/_io/fileio.c -o Modules/fileio.o
./Modules/_io/fileio.c: In function '_io_FileIO___init___impl':
./Modules/_io/fileio.c:478:5: warning: implicit declaration of function '_setmode' [-Wimplicit-function-declaration]
     _setmode(self->fd, O_BINARY);
     ^