I'd contend that this is not a bug:
 * If you need to seek, you can wrap the file-like object in a StringIO (which is what urllib would have to do internally, thus incurring the StringIO overhead for all clients, even those that don't need the functionality).
 * You can check the type of the response content before you try to uncompress it via the Content-Encoding header of the response.  The meta-data is there for a reason.

Check http://www.diveintopython.org/http_web_services/gzip_compression.html for a rather complete treatment of your use-case.