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+1 for Benjamin's patch, having just been bitten by this exact problem.
I'm trying to do unit testing, checking both that a piece of code produces a DeprecationWarning and that it gives the correct result, with something like:
 with warnings.catch_warnings():
 warnings.filterwarnings("ignore", category=DeprecationWarning)
 self.assertEqual(my_func(my_args), expected_result)
 with warnings.catch_warnings():
 warnings.filterwarnings("error", category=DeprecationWarning)
 self.assertRaises(DeprecationWarning, my_func, *my_args)
The first call still registers the warning, even though it's ignored, so the second assertRaises fails. Benjamin's patch would seem to provide a way to fix this.
Perhaps I'm missing an obvious better way to do this.
N.B. The above is a too simple version of the real problem: it actually works as intended, for fragile reasons: the "ignore"d warning is registered on __name__, while the "always"d warning ends up being registered on unittest.case, so there's no conflict.