This is a Python bug. When waiting for a condition in threading.Condition.wait(), KeyboardInterrupt is never sent. Repro:
import threading
cond = threading.Condition(threading.Lock())
cond.acquire()
cond.wait(None)
print "done"
The KeyboardInterrupt exception won't be delivered until wait() returns, and it never returns, so the interrupt never happens. KeyboardInterrupt should almost certainly interrupt a condition wait.
Note that this doesn't happen if a timeout is specified; cond.wait(1) will receive the interrupt immediately. So, a workaround is to specify a timeout. To do that, replace
results = pool.map(slowly_square, range(40))
with
results = pool.map_async(slowly_square, range(40)).get(9999999)
or similar.
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