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It seems to me that there is indeed an issue of some sort here, but its locus is (to me) unclear. I haven't commented before this because I wanted to read the docs...but I haven't had time yet :) 
One question is, is it even expected that passing a Request to select will work? If it *is* expected, then what is the API that req should be conforming to? This API may be an implicit one that is not documented, or perhaps it is documented in select (I haven't checked). If req is conforming to the explicit or implicit API, then the bug would be in select. Otherwise it is in httplib.
Or, if this isn't something we've been supporting in the past, then as Terry says it is a new feature.