> The callstack I initially mentioned still has no explanation and we now know is not correct.

I don't think so.
The callstack is Python's callstack where caused leak in C.  (Python doesn't call malloc directly)

In this case, local variables are freed "at end of the function", and it freed unclosed socket which cause warning. (*)
So the callstack is completely valid.  While only CPython expert can understand.

(*) or "at the end of the except clause" which frees `e` and `e` have reference to the unclosed socket.