I think it would be nice to support it, atleast in the C files (not
necessarily, but possibly, in the project files as well).

The point of a static Python library is that you can embed it into an
application without requiring an additional DLL. That also allows you to
leave out modules that you don't need at link time. Combine this with
freeze, and you can embed an application without any additional files to
be shipped. Without embedding, but with freeze, you get true standalone
binaries (as opposed to py2exe-fake-I-silently-extract-at-run-time
standalone binaries)