> On Linux/Unix, the compile-time headers always consist with the system, so there should not has this problem.
> Correct me if I'm wrong.

No.  Compile-time and run-time system is not always consist.
Kernel version may be upgraded / downgraded after Python is built.
And header version may not be consistent with kernel version.

There are some cases that system may return error for unsupported setsockopt() on Linux.

So I think websocket-client should catch OSError for setsockopt.

But if there are many broken libraries in the world, it's considerable
that hide it on Python side.

Kamil said "This behavior breaks many libraries that i use."
But I saw only websocket-client.  How many other libraries?