sys.stderr looks ok, I tried what you said and I also tried to put some
"assert sys.stderr == sys.__stderr__" here and there and nothing changed.
I commented out the tests one by one and I found out that the first test
alone (test_valid_get_response) is enough to have that error message
(the second alone doesn't seem to show any error).
There's also a comment that says that response.read() is necessary but
nothing changes if I remove that line.
I also noticed that if I put a print at the end of the finally block the
error message doesn't appear anymore.
I didn't tried to debug threadmodule.c.