Daniel, you're basically on the money.  No exception is getting masked.

The rich comparison operations for sets are defined as subset/superset
operations.  So, those operations are not useful for total orderings
used by min/max/sorted/bisect/heapq/cmp and tuple comparisons.  We can't
stop those tools from calling the rich comparisons but we can and do
raise a TypeError when cmp() is called directly on two sets.