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If anybody cares, here is a small patch to implement this. I ran the test suite and nothing else fails because of this change.
However I wonder if this is a slippery slope to go: If call_soon raises after the event loop is closed than everything else that registers an action with the loop should raise as well.
So for consistency this patch should grow quite a bit (unless create_connection, add_reader etc. already raise in this case).
If the decision is to go this path I would also suggest to add a new exception type for "Event loop is closed" so that it can be caught in client code.
YMMV