When running tasks on a `ProcessPoolExecutor`, exceptions raised by the dispatched function should be pickled and accessible to the parent process through the `Future.exception` method.

On Python 3.9.1 (Linux ryzen3950x 5.4.0-58-generic #64-Ubuntu SMP Wed Dec 9 08:16:25 UTC 2020 x86_64 x86_64 x86_64 GNU/Linux) the behavior works with exceptions which are stateless but not if they hold state.

I suspect it is related to the multiprocessing/pickle bug mentioned in the release notes to 3.9.1 but I didn't dig much deeper.

Let me know if I can assist in any way or if any pertinent information is missing: it is my first time reporting a bug here :)

Thank you for your hard work!