Hmm.  I take it back:  this *does* appear to be OS X specific.
I've attached a small (17-line) example that fails with
the Errno 57 error on OS X, but passes on the Linux machines I tested.

In this example, it appears that when 'conn.close()' is called by the 
server, the client socket 'cli' is automatically disconnected, hence
the shutdown failure.  On Linux that doesn't happen.

Can anyone shed any light on this, and/or suggest what should be done?